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K-1 Free QLD Trend with Commodities, Dollar and BTAL 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)

commodities, currencies, hedging, mean reversion, momentum, multi-asset, risk management, tactical asset allocation, tech-heavy, trend-following

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)

0.08

—

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

1.05

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

37.58

—

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

33.27

—

Daily win rate, backtest period (backtest)

57.38%

—

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

55.06%

—

Backtest

Backtest final value (from $10,000)

$545k

—

Backtest regulatory fees

$1,437

—

Backtest slippage cost

$11k

—

Returns

Backtest length

2,433

—

Out-of-sample length

761

—

Return, backtest period (annualized) (backtest)

51.29%

—

Return, backtest period (cumulative) (backtest)

5353%

—

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

32.94%

67.14%

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

136.56%

4.80%

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

0.16%

—

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

2.65%

4.80%

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

-0.13%

—

Return, trailing 1 year (backtest)

26.39%

—

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

26.39%

0.00%

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

0.55%

—

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

7.21%

0.00%

SPY annualized return over the backtest window (backtest)

15.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.12

—

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

1.86

53.07

Maximum drawdown, backtest period (backtest)

-24.22%

—

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

-17.70%

-1.27%

Sharpe ratio, backtest period (backtest)

1.94

—

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

1.38

4.69

Sortino ratio, backtest period (backtest)

3.45

—

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

2.42

—

Standard deviation, backtest period (backtest)

22.70%

—

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

22.45%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.85

—

Construction

Logic complexity (node count)

120

—

Rebalance corridor width

12.00%

1.00%

Rebalance frequency

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