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Minimal Momentum Mean Reversion LETFs with Hedges 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)

crash protection, leveraged tech etfs, mean reversion, momentum, trend filter, volatility hedge

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)

2.62

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

32.53

—

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

25.45

—

Daily win rate, backtest period (backtest)

56.73%

—

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

55.15%

—

Backtest

Backtest final value (from $10,000)

$231.3B

—

Backtest regulatory fees

$283.5M

—

Backtest slippage cost

$1.9B

—

Returns

Backtest length

3,765

—

Out-of-sample length

990

—

Return, backtest period (annualized) (backtest)

211.00%

—

Return, backtest period (cumulative) (backtest)

2312667k%

—

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

57.48%

67.14%

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

496.42%

4.80%

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

1.31%

—

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

13.82%

4.80%

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

0.33%

—

Return, trailing 1 year (backtest)

11.47%

—

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

11.15%

0.00%

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

2.11%

—

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

-16.60%

0.00%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.90

—

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

1.06

53.07

Maximum drawdown, backtest period (backtest)

-54.09%

—

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

-54.10%

-1.27%

Sharpe ratio, backtest period (backtest)

2.06

—

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

1.04

4.69

Sortino ratio, backtest period (backtest)

3.79

—

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

1.63

—

Standard deviation, backtest period (backtest)

64.87%

—

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

61.41%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

363

—

Rebalance corridor width

24.00%

1.00%

Rebalance frequency

none

Popularity

Remixes (copies)

161

—

Watchers

130

—

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