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Leveraged Tech/Semis/High-Beta Swing with Bond Signals vs Rising Rates Volatility Switch Risk-Parity Mix

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, high beta, k-1 free, leveraged etfs, mean reversion, momentum, risk-on/off, semiconductors, tactical, tech, trend

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.54

—

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

-0.20

—

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

-0.04

—

Trading activity

Annualized turnover, backtest period (backtest)

115.54

—

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

113.37

—

Daily win rate, backtest period (backtest)

53.97%

—

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

48.23%

—

Backtest

Backtest final value (from $10,000)

$926.1M

—

Backtest regulatory fees

$8.0M

—

Backtest slippage cost

$77.3M

—

Returns

Backtest length

1,725

—

Out-of-sample length

792

—

Return, backtest period (annualized) (backtest)

431.06%

—

Return, backtest period (cumulative) (backtest)

9261k%

—

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

17.66%

3.62%

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

66.82%

2.81%

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

-2.54%

—

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

-3.91%

0.34%

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

3.35%

—

Return, trailing 1 year (backtest)

-41.84%

—

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

-41.87%

6.30%

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

0.69%

—

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

72.20%

0.95%

SPY annualized return over the backtest window (backtest)

15.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.01

—

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

0.21

331.36

Maximum drawdown, backtest period (backtest)

-86.11%

—

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

-86.11%

-0.01%

Sharpe ratio, backtest period (backtest)

2.32

—

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

0.59

18.06

Sortino ratio, backtest period (backtest)

4.17

—

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

1.00

—

Standard deviation, backtest period (backtest)

88.27%

—

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

84.48%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.77

—

Construction

Logic complexity (node count)

413

—

Rebalance corridor width

10.00%

5.00%

Rebalance frequency

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