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Inverse Hold: LABD and TMV on Bond Weakness, KMLM vs ERX, Refiners and Gold Miners Inverse-Volatility Mix

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 rebalance, inverse etfs, leveraged etfs, managed futures proxy, rsi momentum, tactical allocation, trend-following, volatility filter

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

Asset classes / instruments

equities

Market-relative

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

0.41

—

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

-0.41

—

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

-0.27

—

Trading activity

Annualized turnover, backtest period (backtest)

31.52

—

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

29.00

—

Daily win rate, backtest period (backtest)

61.01%

—

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

71.07%

—

Backtest

Backtest final value (from $10,000)

$99k

—

Backtest regulatory fees

$227

—

Backtest slippage cost

$1,709

—

Returns

Backtest length

1,439

—

Out-of-sample length

643

—

Return, backtest period (annualized) (backtest)

49.42%

—

Return, backtest period (cumulative) (backtest)

892.09%

—

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

34.85%

138.64%

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

114.70%

3.87%

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

0.04%

—

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

14.46%

8.12%

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

5.08%

—

Return, trailing 1 year (backtest)

31.16%

—

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

31.16%

0.00%

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

5.68%

—

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

28.59%

0.00%

SPY annualized return over the backtest window (backtest)

15.13%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.42

—

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

1.82

51.98

Maximum drawdown, backtest period (backtest)

-20.45%

—

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

-19.12%

-2.67%

Sharpe ratio, backtest period (backtest)

1.36

—

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

1.34

4.29

Sortino ratio, backtest period (backtest)

2.25

—

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

2.27

—

Standard deviation, backtest period (backtest)

33.65%

—

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

24.68%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.87

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

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