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Hedged Sector Rotator with T-Bill Fallback 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)

daily rebalanced, leveraged etfs, momentum/rsi, sector rotation, tactical hedged allocation, treasuries & vix hedges

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)

0.26

—

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

1.44

—

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

0.75

—

Trading activity

Annualized turnover, backtest period (backtest)

66.61

—

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

64.94

—

Daily win rate, backtest period (backtest)

57.97%

—

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

57.75%

—

Backtest

Backtest final value (from $10,000)

$1.0M

—

Backtest regulatory fees

$3,084

—

Backtest slippage cost

$25k

—

Returns

Backtest length

1,744

—

Out-of-sample length

542

—

Return, backtest period (annualized) (backtest)

94.67%

—

Return, backtest period (cumulative) (backtest)

9975%

—

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

64.74%

67.14%

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

193.19%

4.80%

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

1.02%

—

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

0.75%

4.80%

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

1.69%

—

Return, trailing 1 year (backtest)

75.03%

—

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

75.02%

0.00%

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

0.69%

—

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

13.07%

0.00%

SPY annualized return over the backtest window (backtest)

16.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.71

—

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

3.40

53.07

Maximum drawdown, backtest period (backtest)

-20.11%

—

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

-19.03%

-1.27%

Sharpe ratio, backtest period (backtest)

2.14

—

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

1.76

4.69

Sortino ratio, backtest period (backtest)

3.66

—

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

2.85

—

Standard deviation, backtest period (backtest)

33.85%

—

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

31.08%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.31

—

Construction

Logic complexity (node count)

517

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

136

—

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