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Leveraged Tech Trend with Oil and Volatility Sleeves 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, commodities, daily rebalanced, hedged, leveraged etfs, risk-managed, tactical asset allocation, trend-following, volatility carry

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)

0.06

—

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

0.81

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

38.58

—

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

44.11

—

Daily win rate, backtest period (backtest)

58.62%

—

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

55.91%

—

Backtest

Backtest final value (from $10,000)

$1.4M

—

Backtest regulatory fees

$5,196

—

Backtest slippage cost

$40k

—

Returns

Backtest length

3,499

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

42.97%

—

Return, backtest period (cumulative) (backtest)

14k%

—

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

24.48%

261.52%

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

58.22%

6.85%

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

-1.61%

—

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

2.59%

1.95%

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

-4.33%

—

Return, trailing 1 year (backtest)

21.98%

—

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

32.07%

0.00%

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

-6.71%

—

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

9.18%

6.14%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.92

—

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

1.90

376.45

Maximum drawdown, backtest period (backtest)

-14.73%

—

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

-12.88%

-0.69%

Sharpe ratio, backtest period (backtest)

2.44

—

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

1.26

7.79

Sortino ratio, backtest period (backtest)

4.63

—

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

1.92

—

Standard deviation, backtest period (backtest)

15.12%

—

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

18.75%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.14

—

Construction

Logic complexity (node count)

624

—

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