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Leveraged Tech with Managed Futures and Inverse Vol Hedge 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)

leveraged tech & semis, managed futures switch, risk-on/off, tactical etf rotation, trend/momentum, 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)

0.44

—

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

0.53

—

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

0.15

—

Trading activity

Annualized turnover, backtest period (backtest)

89.14

—

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

91.49

—

Daily win rate, backtest period (backtest)

57.14%

—

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

55.21%

—

Backtest

Backtest final value (from $10,000)

$104k

—

Backtest regulatory fees

$318

—

Backtest slippage cost

$2,368

—

Returns

Backtest length

588

—

Out-of-sample length

326

—

Return, backtest period (annualized) (backtest)

172.14%

—

Return, backtest period (cumulative) (backtest)

938.06%

—

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

58.42%

67.14%

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

81.67%

4.80%

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

-1.11%

—

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

-3.51%

4.80%

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

-2.24%

—

Return, trailing 1 year (backtest)

38.56%

—

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

38.58%

0.00%

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

-1.66%

—

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

28.46%

0.00%

SPY annualized return over the backtest window (backtest)

18.92%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.59

—

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

2.24

53.07

Maximum drawdown, backtest period (backtest)

-26.12%

—

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

-26.12%

-1.27%

Sharpe ratio, backtest period (backtest)

2.36

—

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

1.28

4.69

Sortino ratio, backtest period (backtest)

3.95

—

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

1.91

—

Standard deviation, backtest period (backtest)

47.34%

—

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

43.23%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.23

—

Construction

Logic complexity (node count)

5,260

—

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