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Leveraged Growth with Managed Futures and Treasuries vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

What they say: stated rules

Each rule is quoted from the strategy's own documents. Tap a ✓ to read the quote. Shared rules come first.

Rules stated

Allocation target

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Hedge / defensive overlay

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Hedge / defensive overlay: Cash / T-bills

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Leverage use

—

Rebalance schedule

—

Trading signal: Relative strength vs another asset

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Trading signal: RSI overbought / oversold

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Trading signal: Volatility regime (VIX)

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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)

emerging markets, leveraged etfs, managed futures, momentum/rsi, risk-on/risk-off, tactical allocation, tech tilt, trend following, volatility hedge

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)

0.22

—

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

0.57

—

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

0.43

—

Trading activity

Annualized turnover, backtest period (backtest)

47.68

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

48.59

—

Daily win rate, backtest period (backtest)

58.00%

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

55.68%

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Backtest

Backtest final value (from $10,000)

$483k

—

Backtest regulatory fees

$1,260

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Backtest slippage cost

$9,741

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Returns

Backtest length

1,450

—

Out-of-sample length

537

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Return, backtest period (annualized) (backtest)

96.12%

—

Return, backtest period (cumulative) (backtest)

4734%

—

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

35.43%

261.52%

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

91.07%

6.85%

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

0.89%

—

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

3.11%

1.95%

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

0.75%

—

Return, trailing 1 year (backtest)

29.84%

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

29.84%

0.00%

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

3.81%

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

16.55%

6.14%

SPY annualized return over the backtest window (backtest)

15.21%

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Risk metrics

Calmar ratio, backtest period (backtest)

4.86

—

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

1.79

376.45

Maximum drawdown, backtest period (backtest)

-19.77%

—

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

-19.77%

-0.69%

Sharpe ratio, backtest period (backtest)

3.21

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

1.52

7.79

Sortino ratio, backtest period (backtest)

5.57

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

2.24

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Standard deviation, backtest period (backtest)

21.72%

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

21.56%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

209

—

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