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Five Horsemen Leveraged Tech Momentum with Short-Vol vs 50/50 Hedged Rotation and TQQQ Dip-Buy

Every published figureShow 43 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

leveraged etfs, long/short, market timing, momentum, risk management, tactical allocation, trend following, volatility overlay

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

Alpha vs SPY, out-of-sample (out-of-sample)

0.14

—

Beta vs SPY, out-of-sample (out-of-sample)

2.43

—

Correlation (R) vs SPY, out-of-sample (out-of-sample)

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

62.26

—

Annualized turnover, out-of-sample period (out-of-sample)

65.24

—

Daily win rate, backtest period (backtest)

57.40%

—

Daily win rate, out-of-sample period (out-of-sample)

56.35%

—

Backtest

Backtest final value (from $10,000)

$12.8B

—

Backtest regulatory fees

$28.4M

—

Backtest slippage cost

$273.6M

—

Returns

Backtest length

3,676

—

Out-of-sample length

669

—

Return, backtest period (annualized) (backtest)

162.16%

—

Return, backtest period (cumulative) (backtest)

128089k%

—

Return, out-of-sample period (annualized) (out-of-sample)

60.20%

3.62%

Return, out-of-sample period (cumulative) (out-of-sample)

250.05%

2.81%

Return, trailing 1 day (out-of-sample)

0.66%

—

Return, trailing 1 month (out-of-sample)

11.28%

0.34%

Return, trailing 1 week (out-of-sample)

-2.53%

—

Return, trailing 1 year (backtest)

80.93%

—

Return, trailing 1 year (out-of-sample)

80.88%

86.44%

Return, trailing 2 weeks (out-of-sample)

0.30%

—

Return, trailing 3 months (out-of-sample)

1.09%

0.95%

SPY annualized return over the backtest window (backtest)

14.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.68

—

Calmar ratio, out-of-sample period (out-of-sample)

1.37

331.36

Maximum drawdown, backtest period (backtest)

-44.06%

—

Maximum drawdown, out-of-sample period (out-of-sample)

-44.07%

-0.01%

Sharpe ratio, backtest period (backtest)

2.09

—

Sharpe ratio, out-of-sample period (out-of-sample)

1.12

18.06

Sortino ratio, backtest period (backtest)

3.83

—

Sortino ratio, out-of-sample period (out-of-sample)

1.95

—

Standard deviation, backtest period (backtest)

52.47%

—

Standard deviation, out-of-sample period (out-of-sample)

54.52%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

Concentration (Herfindahl index, out-of-sample, as Composer reports it)

0.39

—

Construction

Logic complexity (node count)

1,566

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

—

Watchers

—

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources

Compare investment strategies

At a glance

Growth of $10,000

What they say: stated rules

What they hold

Do the holdings back the rules?

Costs, access & sources