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Leveraged Tech Risk Switch with Rate-Trend Bond Flips vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 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 and rates, leveraged etfs, momentum + mean reversion, risk-on/risk-off, sector rotation, tactical allocation, volatility hedging

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.38

—

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

0.63

—

Trading activity

Annualized turnover, backtest period (backtest)

37.94

—

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

39.50

—

Daily win rate, backtest period (backtest)

62.50%

—

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

58.60%

—

Backtest

Backtest final value (from $10,000)

$37k

—

Backtest regulatory fees

$121

—

Backtest slippage cost

$788

—

Returns

Backtest length

1,032

—

Out-of-sample length

529

—

Return, backtest period (annualized) (backtest)

37.86%

—

Return, backtest period (cumulative) (backtest)

272.94%

—

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

17.47%

261.52%

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

39.77%

6.85%

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

0.63%

—

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

0.20%

1.95%

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

1.24%

—

Return, trailing 1 year (backtest)

16.84%

—

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

15.55%

0.00%

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

2.19%

—

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

2.98%

6.14%

SPY annualized return over the backtest window (backtest)

18.97%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.58

—

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

2.12

376.45

Maximum drawdown, backtest period (backtest)

-8.26%

—

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

-8.26%

-0.69%

Sharpe ratio, backtest period (backtest)

3.54

—

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

1.70

7.79

Sortino ratio, backtest period (backtest)

6.41

—

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

2.90

—

Standard deviation, backtest period (backtest)

9.21%

—

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

9.76%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.07

—

Construction

Logic complexity (node count)

2,989

—

Rebalance frequency

daily

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