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Modified TQQQ Long-Term Trend, Leveraged S&P and TMF 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 hedge, inverse etfs, leveraged etfs, tactical rotation, trend + momentum, 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)

0.30

—

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

2.23

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

72.74

—

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

66.81

—

Daily win rate, backtest period (backtest)

55.66%

—

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

55.26%

—

Backtest

Backtest final value (from $10,000)

$692.4M

—

Backtest regulatory fees

$1.9M

—

Backtest slippage cost

$18.0M

—

Returns

Backtest length

3,775

—

Out-of-sample length

751

—

Return, backtest period (annualized) (backtest)

110.39%

—

Return, backtest period (cumulative) (backtest)

6924k%

—

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

94.29%

67.14%

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

625.69%

4.80%

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

1.69%

—

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

5.68%

4.80%

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

0.69%

—

Return, trailing 1 year (backtest)

4.06%

—

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

4.03%

0.00%

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

-0.08%

—

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

22.68%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.04

—

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

2.27

53.07

Maximum drawdown, backtest period (backtest)

-54.05%

—

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

-41.54%

-1.27%

Sharpe ratio, backtest period (backtest)

1.72

—

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

1.58

4.69

Sortino ratio, backtest period (backtest)

2.79

—

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

2.59

—

Standard deviation, backtest period (backtest)

50.45%

—

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

49.72%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

1.00%

Rebalance frequency

none

Popularity

Remixes (copies)

149

—

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