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Mean-Variance Sized Hedged Multi-Strategy Mix 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)

bonds, commodities, equities, hedged, leveraged/inverse etfs, long/short, mean-reversion, multi-strategy, trend/momentum, volatility

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)

0.09

—

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

0.38

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

29.31

—

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

30.21

—

Daily win rate, backtest period (backtest)

61.05%

—

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

54.22%

—

Backtest

Backtest final value (from $10,000)

$785k

—

Backtest regulatory fees

$2,247

—

Backtest slippage cost

$18k

—

Returns

Backtest length

3,499

—

Out-of-sample length

533

—

Return, backtest period (annualized) (backtest)

36.91%

—

Return, backtest period (cumulative) (backtest)

7749%

—

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

16.08%

67.14%

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

36.68%

4.80%

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

1.23%

—

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

0.99%

4.80%

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

0.40%

—

Return, trailing 1 year (backtest)

15.50%

—

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

15.19%

0.00%

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

1.53%

—

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

5.65%

0.00%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.49

—

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

1.96

53.07

Maximum drawdown, backtest period (backtest)

-8.21%

—

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

-8.21%

-1.27%

Sharpe ratio, backtest period (backtest)

3.27

—

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

1.37

4.69

Sortino ratio, backtest period (backtest)

6.88

—

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

2.65

—

Standard deviation, backtest period (backtest)

9.75%

—

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

11.36%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.09

—

Construction

Logic complexity (node count)

965

—

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