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Fund Surfing: Volatility-Scaled 3x S&P/Nasdaq vs Treasuries vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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 equity (upro/tqqq), risk-on/off, rsi-based rotation, tactical allocation, treasuries (ief/shy), volatility regime

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.01

—

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

1.35

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

32.36

—

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

30.55

—

Daily win rate, backtest period (backtest)

53.61%

—

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

53.11%

—

Backtest

Backtest final value (from $10,000)

$1.2M

—

Backtest regulatory fees

$3,763

—

Backtest slippage cost

$27k

—

Returns

Backtest length

4,169

—

Out-of-sample length

883

—

Return, backtest period (annualized) (backtest)

33.41%

—

Return, backtest period (cumulative) (backtest)

12k%

—

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

26.80%

261.52%

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

130.00%

6.85%

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

-0.06%

—

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

-2.38%

1.95%

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

0.39%

—

Return, trailing 1 year (backtest)

27.66%

—

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

27.66%

0.00%

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

-0.32%

—

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

2.55%

6.14%

SPY annualized return over the backtest window (backtest)

14.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.84

—

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

0.67

376.45

Maximum drawdown, backtest period (backtest)

-39.74%

—

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

-39.74%

-0.69%

Sharpe ratio, backtest period (backtest)

1.16

—

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

0.93

7.79

Sortino ratio, backtest period (backtest)

1.73

—

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

1.38

—

Standard deviation, backtest period (backtest)

28.44%

—

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

30.42%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.92

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

daily

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