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Investment Portfolio Chasing 3x Strength with Hedges 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)

china tactical, commodities/treasuries timing, high turnover, leveraged etfs, momentum & mean reversion, tactical rotation, very high risk, 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)

0.02

—

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

1.60

—

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

0.86

—

Trading activity

Annualized turnover, backtest period (backtest)

22.18

—

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

22.70

—

Daily win rate, backtest period (backtest)

56.91%

—

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

55.42%

—

Backtest

Backtest final value (from $10,000)

$19.6M

—

Backtest regulatory fees

$31k

—

Backtest slippage cost

$254k

—

Returns

Backtest length

3,576

—

Out-of-sample length

987

—

Return, backtest period (annualized) (backtest)

70.59%

—

Return, backtest period (cumulative) (backtest)

196k%

—

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

36.21%

261.52%

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

235.85%

6.85%

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

0.66%

—

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

1.88%

1.95%

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

0.93%

—

Return, trailing 1 year (backtest)

26.68%

—

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

26.67%

0.00%

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

0.55%

—

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

5.75%

6.14%

SPY annualized return over the backtest window (backtest)

14.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.08

—

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

1.06

376.45

Maximum drawdown, backtest period (backtest)

-34.01%

—

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

-34.01%

-0.69%

Sharpe ratio, backtest period (backtest)

2.03

—

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

1.23

7.79

Sortino ratio, backtest period (backtest)

3.60

—

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

1.99

—

Standard deviation, backtest period (backtest)

28.29%

—

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

28.46%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

1,363

—

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