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High-Beta Dip-Buy Rotation with Market-Neutral Safety 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 rebalancing, leveraged etfs, long/short, momentum rotation, risk-on/risk-off, tactical allocation, trend-following, volatility

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)

0.09

—

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

1.10

—

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

0.36

—

Trading activity

Annualized turnover, backtest period (backtest)

108.48

—

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

104.45

—

Daily win rate, backtest period (backtest)

59.06%

—

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

53.07%

—

Backtest

Backtest final value (from $10,000)

$312k

—

Backtest regulatory fees

$1,877

—

Backtest slippage cost

$14k

—

Returns

Backtest length

955

—

Out-of-sample length

358

—

Return, backtest period (annualized) (backtest)

147.65%

—

Return, backtest period (cumulative) (backtest)

3020%

—

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

34.68%

67.14%

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

51.74%

4.80%

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

-5.29%

—

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

11.82%

4.80%

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

-6.48%

—

Return, trailing 1 year (backtest)

25.05%

—

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

48.48%

0.00%

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

-5.48%

—

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

18.26%

0.00%

SPY annualized return over the backtest window (backtest)

21.71%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.92

—

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

1.22

53.07

Maximum drawdown, backtest period (backtest)

-30.02%

—

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

-28.47%

-1.27%

Sharpe ratio, backtest period (backtest)

2.17

—

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

0.98

4.69

Sortino ratio, backtest period (backtest)

3.85

—

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

1.27

—

Standard deviation, backtest period (backtest)

46.59%

—

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

37.41%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.32

—

Construction

Logic complexity (node count)

6,599

—

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