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Gummy Bears 60/40: Leveraged Tech and Treasury Rotation vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 attributes

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

Classification

AI categories (Composer)

bond rotation, daily rebalanced, leveraged etfs, macro overlay, mean reversion, tactical 60/40, trend following, volatility hedging

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)

1.44

—

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

0.72

—

Trading activity

Annualized turnover, backtest period (backtest)

33.81

—

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

34.62

—

Daily win rate, backtest period (backtest)

57.14%

—

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

56.92%

—

Backtest

Backtest final value (from $10,000)

$32.4M

—

Backtest regulatory fees

$71k

—

Backtest slippage cost

$619k

—

Returns

Backtest length

3,775

—

Out-of-sample length

708

—

Return, backtest period (annualized) (backtest)

71.49%

—

Return, backtest period (cumulative) (backtest)

324k%

—

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

29.57%

261.52%

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

107.26%

6.85%

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

0.24%

—

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

7.53%

1.95%

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

0.25%

—

Return, trailing 1 year (backtest)

26.61%

—

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

26.60%

0.00%

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

0.35%

—

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

9.16%

6.14%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.40

—

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

0.99

376.45

Maximum drawdown, backtest period (backtest)

-29.76%

—

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

-29.76%

-0.69%

Sharpe ratio, backtest period (backtest)

2.31

—

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

0.99

7.79

Sortino ratio, backtest period (backtest)

3.94

—

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

1.50

—

Standard deviation, backtest period (backtest)

24.72%

—

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

31.01%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

814

—

Rebalance frequency

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