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Index Rotation 60-Day RSI with Top-4 Strength 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)

daily rebalance, leveraged etfs, rsi-based momentum, sector/index rotation, tactical asset allocation, 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)

0.23

—

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

1.54

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

37.67

—

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

28.35

—

Daily win rate, backtest period (backtest)

56.74%

—

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

58.09%

—

Backtest

Backtest final value (from $10,000)

$22.2M

—

Backtest regulatory fees

$30k

—

Backtest slippage cost

$257k

—

Returns

Backtest length

3,738

—

Out-of-sample length

680

—

Return, backtest period (annualized) (backtest)

68.11%

—

Return, backtest period (cumulative) (backtest)

222k%

—

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

59.74%

261.52%

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

254.58%

6.85%

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

-0.34%

—

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

2.99%

1.95%

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

-1.61%

—

Return, trailing 1 year (backtest)

53.22%

—

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

53.20%

0.00%

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

-0.72%

—

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

8.12%

6.14%

SPY annualized return over the backtest window (backtest)

15.69%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.03

—

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

1.88

376.45

Maximum drawdown, backtest period (backtest)

-33.57%

—

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

-31.77%

-0.69%

Sharpe ratio, backtest period (backtest)

1.64

—

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

1.43

7.79

Sortino ratio, backtest period (backtest)

3.34

—

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

2.71

—

Standard deviation, backtest period (backtest)

35.11%

—

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

37.40%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.30

—

Construction

Logic complexity (node count)

205

—

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