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Golden Ratio Sorter with Managed Futures and EM 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)

emerging markets, gold, hedging, leveraged etfs, managed futures, mean reversion, momentum, multi-asset, risk-on/off, tactical, tech, treasuries

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)

0.42

—

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

0.43

—

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

0.15

—

Trading activity

Annualized turnover, backtest period (backtest)

53.04

—

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

50.54

—

Daily win rate, backtest period (backtest)

57.57%

—

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

52.71%

—

Backtest

Backtest final value (from $10,000)

$4.7M

—

Backtest regulatory fees

$8,925

—

Backtest slippage cost

$71k

—

Returns

Backtest length

1,341

—

Out-of-sample length

387

—

Return, backtest period (annualized) (backtest)

217.03%

—

Return, backtest period (cumulative) (backtest)

47k%

—

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

49.13%

67.14%

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

85.03%

4.80%

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

2.07%

—

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

5.75%

4.80%

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

-0.86%

—

Return, trailing 1 year (backtest)

78.90%

—

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

78.87%

0.00%

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

4.77%

—

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

31.86%

0.00%

SPY annualized return over the backtest window (backtest)

13.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.01

—

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

1.36

53.07

Maximum drawdown, backtest period (backtest)

-36.12%

—

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

-36.12%

-1.27%

Sharpe ratio, backtest period (backtest)

3.06

—

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

1.07

4.69

Sortino ratio, backtest period (backtest)

5.42

—

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

1.66

—

Standard deviation, backtest period (backtest)

40.45%

—

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

48.24%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.45

—

Construction

Logic complexity (node count)

598

—

Rebalance corridor width

—

1.00%

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