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Leveraged Tech Momentum with Hedges and Rate-Timed Bonds 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)

daily rebalancing, leveraged etfs, momentum/trend, regime switching, 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)

0.06

—

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

0.89

—

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

0.29

—

Trading activity

Annualized turnover, backtest period (backtest)

105.77

—

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

96.62

—

Daily win rate, backtest period (backtest)

58.50%

—

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

48.64%

—

Backtest

Backtest final value (from $10,000)

$1190.6B

—

Backtest regulatory fees

$7.3B

—

Backtest slippage cost

$18.8B

—

Returns

Backtest length

2,742

—

Out-of-sample length

627

—

Return, backtest period (annualized) (backtest)

451.98%

—

Return, backtest period (cumulative) (backtest)

11905582k%

—

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

17.90%

67.14%

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

50.14%

4.80%

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

-3.99%

—

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

-4.00%

4.80%

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

-5.80%

—

Return, trailing 1 year (backtest)

-6.52%

—

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

8.75%

0.00%

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

0.84%

—

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

12.43%

0.00%

SPY annualized return over the backtest window (backtest)

14.57%

—

Risk metrics

Calmar ratio, backtest period (backtest)

10.65

—

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

0.42

53.07

Maximum drawdown, backtest period (backtest)

-42.42%

—

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

-42.49%

-1.27%

Sharpe ratio, backtest period (backtest)

3.22

—

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

0.58

4.69

Sortino ratio, backtest period (backtest)

7.13

—

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

0.78

—

Standard deviation, backtest period (backtest)

58.20%

—

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

48.03%

11.60%

Quality

Community review status

REJECTED

—

Holdings

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

0.31

—

Construction

Logic complexity (node count)

5,559

—

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