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Leveraged Tech and Semis Ensemble with 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)

leveraged etfs, mean reversion, sector rotation, 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)

0.17

—

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

1.60

—

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

0.42

—

Trading activity

Annualized turnover, backtest period (backtest)

157.99

—

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

153.83

—

Daily win rate, backtest period (backtest)

55.26%

—

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

53.59%

—

Backtest

Backtest final value (from $10,000)

$325k

—

Backtest regulatory fees

$3,531

—

Backtest slippage cost

$28k

—

Returns

Backtest length

999

—

Out-of-sample length

765

—

Return, backtest period (annualized) (backtest)

140.45%

—

Return, backtest period (cumulative) (backtest)

3151%

—

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

41.77%

67.14%

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

188.90%

4.80%

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

-1.13%

—

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

10.51%

4.80%

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

-1.30%

—

Return, trailing 1 year (backtest)

-2.34%

—

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

-2.34%

0.00%

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

-2.86%

—

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

-4.23%

0.00%

SPY annualized return over the backtest window (backtest)

23.26%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.90

—

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

0.86

53.07

Maximum drawdown, backtest period (backtest)

-48.43%

—

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

-48.43%

-1.27%

Sharpe ratio, backtest period (backtest)

1.79

—

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

0.89

4.69

Sortino ratio, backtest period (backtest)

2.85

—

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

1.31

—

Standard deviation, backtest period (backtest)

58.80%

—

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

58.71%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

5,116

—

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