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Markov Equity and Volatility Rotation with Sector Picks vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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 etfs, mean reversion, sector rotation, tactical allocation, trend following, volatility trading

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.32

—

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

1.45

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

62.43

—

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

61.42

—

Daily win rate, backtest period (backtest)

58.08%

—

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

57.87%

—

Backtest

Backtest final value (from $10,000)

$10.1M

—

Backtest regulatory fees

$24k

—

Backtest slippage cost

$202k

—

Returns

Backtest length

1,744

—

Out-of-sample length

508

—

Return, backtest period (annualized) (backtest)

171.73%

—

Return, backtest period (cumulative) (backtest)

101k%

—

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

62.79%

3.62%

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

167.58%

2.81%

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

1.29%

—

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

5.67%

0.34%

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

1.70%

—

Return, trailing 1 year (backtest)

34.85%

—

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

34.83%

86.44%

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

1.69%

—

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

17.64%

0.95%

SPY annualized return over the backtest window (backtest)

16.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.27

—

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

2.29

331.36

Maximum drawdown, backtest period (backtest)

-27.41%

—

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

-27.41%

-0.01%

Sharpe ratio, backtest period (backtest)

2.52

—

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

1.36

18.06

Sortino ratio, backtest period (backtest)

4.52

—

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

2.16

—

Standard deviation, backtest period (backtest)

43.36%

—

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

42.40%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.39

—

Construction

Logic complexity (node count)

927

—

Rebalance corridor width

10.00%

9.00%

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