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Go With the Trend: Broad Stocks, Leveraged Rebounds, Bonds vs Domestic Leveraged Sector Trend 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)

bonds, defensive equity, inverse etfs, leveraged etfs, mean reversion, momentum, regime switching, tactical asset allocation, volatility hedge

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

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)

1.28

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

21.10

—

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

17.14

—

Daily win rate, backtest period (backtest)

56.75%

—

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

54.46%

—

Backtest

Backtest final value (from $10,000)

$2.1M

—

Backtest regulatory fees

$3,239

—

Backtest slippage cost

$26k

—

Returns

Backtest length

3,512

—

Out-of-sample length

931

—

Return, backtest period (annualized) (backtest)

46.62%

—

Return, backtest period (cumulative) (backtest)

21k%

—

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

23.97%

67.14%

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

121.39%

4.80%

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

0.38%

—

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

-1.02%

4.80%

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

0.13%

—

Return, trailing 1 year (backtest)

34.89%

—

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

34.89%

0.00%

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

-0.35%

—

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

0.88%

0.00%

SPY annualized return over the backtest window (backtest)

14.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.48

—

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

0.97

53.07

Maximum drawdown, backtest period (backtest)

-31.51%

—

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

-24.62%

-1.27%

Sharpe ratio, backtest period (backtest)

1.49

—

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

0.90

4.69

Sortino ratio, backtest period (backtest)

3.17

—

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

1.76

—

Standard deviation, backtest period (backtest)

28.08%

—

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

27.81%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

3.00%

1.00%

Rebalance frequency

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