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Leveraged Mega-Cap Momentum with Bond and VIX Hedges 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)

bonds, leveraged etfs, momentum, tactical allocation, trend-following, 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)

0.66

—

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

1.55

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

107.62

—

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

108.75

—

Daily win rate, backtest period (backtest)

57.28%

—

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

61.40%

—

Backtest

Backtest final value (from $10,000)

$492k

—

Backtest regulatory fees

$1,524

—

Backtest slippage cost

$12k

—

Returns

Backtest length

810

—

Out-of-sample length

228

—

Return, backtest period (annualized) (backtest)

235.62%

—

Return, backtest period (cumulative) (backtest)

4824%

—

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

115.17%

67.14%

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

100.63%

4.80%

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

1.01%

—

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

13.53%

4.80%

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

-1.09%

—

Return, trailing 1 year (backtest)

92.03%

—

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

26.19%

0.00%

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

0.93%

—

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

34.07%

0.00%

SPY annualized return over the backtest window (backtest)

19.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.60

—

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

4.33

53.07

Maximum drawdown, backtest period (backtest)

-51.22%

—

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

-26.60%

-1.27%

Sharpe ratio, backtest period (backtest)

2.48

—

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

1.72

4.69

Sortino ratio, backtest period (backtest)

4.30

—

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

2.50

—

Standard deviation, backtest period (backtest)

54.77%

—

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

53.26%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.48

—

Construction

Logic complexity (node count)

3,892

—

Rebalance corridor width

5.00%

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