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LBT Monotonic Microblob Risk-On/Risk-Off with Inverse ETFs 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)

leveraged etfs, long/short, momentum/trend, risk-on/risk-off, tactical allocation, volatility hedging

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)

0.54

—

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

0.40

—

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

0.15

—

Trading activity

Annualized turnover, backtest period (backtest)

100.05

—

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

107.27

—

Daily win rate, backtest period (backtest)

55.87%

—

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

55.99%

—

Backtest

Backtest final value (from $10,000)

$89.4M

—

Backtest regulatory fees

$339k

—

Backtest slippage cost

$3.2M

—

Returns

Backtest length

2,821

—

Out-of-sample length

734

—

Return, backtest period (annualized) (backtest)

125.35%

—

Return, backtest period (cumulative) (backtest)

894k%

—

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

73.65%

67.14%

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

400.09%

4.80%

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

0.97%

—

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

6.84%

4.80%

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

1.27%

—

Return, trailing 1 year (backtest)

69.56%

—

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

69.45%

0.00%

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

3.67%

—

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

13.47%

0.00%

SPY annualized return over the backtest window (backtest)

14.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.42

—

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

2.07

53.07

Maximum drawdown, backtest period (backtest)

-36.67%

—

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

-35.53%

-1.27%

Sharpe ratio, backtest period (backtest)

2.04

—

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

1.57

4.69

Sortino ratio, backtest period (backtest)

3.44

—

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

2.40

—

Standard deviation, backtest period (backtest)

44.84%

—

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

40.43%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.36

—

Construction

Logic complexity (node count)

6,132

—

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