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Leveraged Stock-Treasury Barbell Blend with T-Bills 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)

cash parking, daily rebalancing, dip buying, leveraged etfs, momentum/rsi, risk-on/risk-off, tactical allocation, tech/semiconductors, treasuries hedge, volatility filters

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)

0.04

—

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

2.44

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

34.74

—

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

33.95

—

Daily win rate, backtest period (backtest)

55.23%

—

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

56.60%

—

Backtest

Backtest final value (from $10,000)

$256.8M

—

Backtest regulatory fees

$428k

—

Backtest slippage cost

$4.0M

—

Returns

Backtest length

3,775

—

Out-of-sample length

864

—

Return, backtest period (annualized) (backtest)

96.92%

—

Return, backtest period (cumulative) (backtest)

2568k%

—

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

54.22%

67.14%

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

342.39%

4.80%

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

0.51%

—

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

4.58%

4.80%

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

0.99%

—

Return, trailing 1 year (backtest)

34.04%

—

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

34.03%

0.00%

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

-0.23%

—

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

20.07%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.24

—

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

1.25

53.07

Maximum drawdown, backtest period (backtest)

-43.32%

—

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

-43.32%

-1.27%

Sharpe ratio, backtest period (backtest)

1.89

—

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

1.14

4.69

Sortino ratio, backtest period (backtest)

3.37

—

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

1.88

—

Standard deviation, backtest period (backtest)

40.09%

—

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

47.75%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.52

—

Construction

Logic complexity (node count)

3,582

—

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