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Leveraged Tech Rallies with EM, Short-Vol Modules 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 rebalance, emerging markets, leveraged etfs, market timing, mean reversion, shorting, treasuries/cash, 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)

-0.09

—

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

2.04

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

80.63

—

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

77.85

—

Daily win rate, backtest period (backtest)

59.12%

—

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

53.77%

—

Backtest

Backtest final value (from $10,000)

$49.9B

—

Backtest regulatory fees

$177.3M

—

Backtest slippage cost

$1.7B

—

Returns

Backtest length

3,207

—

Out-of-sample length

491

—

Return, backtest period (annualized) (backtest)

235.85%

—

Return, backtest period (cumulative) (backtest)

498816k%

—

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

19.12%

67.14%

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

40.13%

4.80%

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

-3.13%

—

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

-4.19%

4.80%

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

-1.81%

—

Return, trailing 1 year (backtest)

27.87%

—

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

38.92%

0.00%

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

-2.90%

—

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

0.57%

0.00%

SPY annualized return over the backtest window (backtest)

13.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.24

—

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

0.34

53.07

Maximum drawdown, backtest period (backtest)

-55.62%

—

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

-55.62%

-1.27%

Sharpe ratio, backtest period (backtest)

2.62

—

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

0.60

4.69

Sortino ratio, backtest period (backtest)

5.14

—

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

0.80

—

Standard deviation, backtest period (backtest)

50.98%

—

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

49.75%

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)

3,677

—

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