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Leveraged Tech Offense with T-Bill/VIX/KMLM Defense 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, commodities, gold, leveraged etfs, managed futures, momentum/mean-reversion, multi-asset, tactical allocation, volatility hedged

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)

0.22

—

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

0.40

—

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

0.19

—

Trading activity

Annualized turnover, backtest period (backtest)

59.56

—

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

55.09

—

Daily win rate, backtest period (backtest)

59.27%

—

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

54.23%

—

Backtest

Backtest final value (from $10,000)

$125k

—

Backtest regulatory fees

$338

—

Backtest slippage cost

$2,537

—

Returns

Backtest length

798

—

Out-of-sample length

319

—

Return, backtest period (annualized) (backtest)

121.86%

—

Return, backtest period (cumulative) (backtest)

1151%

—

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

34.98%

67.14%

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

45.32%

4.80%

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

-1.53%

—

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

-0.13%

4.80%

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

-4.15%

—

Return, trailing 1 year (backtest)

29.19%

—

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

45.27%

0.00%

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

-3.70%

—

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

21.62%

0.00%

SPY annualized return over the backtest window (backtest)

19.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.65

—

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

2.00

53.07

Maximum drawdown, backtest period (backtest)

-26.19%

—

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

-17.52%

-1.27%

Sharpe ratio, backtest period (backtest)

2.38

—

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

1.26

4.69

Sortino ratio, backtest period (backtest)

5.14

—

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

1.92

—

Standard deviation, backtest period (backtest)

35.99%

—

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

26.59%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.13

—

Construction

Logic complexity (node count)

6,324

—

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