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MPT-Weighted Stock/Energy/Bond Rotation 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)

bonds, commodities, leveraged etfs, market timing, momentum, tactical allocation, trend-following, 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)

0.09

—

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

0.43

—

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

0.57

—

Trading activity

Annualized turnover, backtest period (backtest)

37.65

—

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

39.40

—

Daily win rate, backtest period (backtest)

60.92%

—

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

55.18%

—

Backtest

Backtest final value (from $10,000)

$2.1M

—

Backtest regulatory fees

$6,447

—

Backtest slippage cost

$53k

—

Returns

Backtest length

3,488

—

Out-of-sample length

531

—

Return, backtest period (annualized) (backtest)

47.10%

—

Return, backtest period (cumulative) (backtest)

21k%

—

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

16.61%

67.14%

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

37.82%

4.80%

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

1.20%

—

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

-0.40%

4.80%

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

1.44%

—

Return, trailing 1 year (backtest)

15.21%

—

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

13.28%

0.00%

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

2.63%

—

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

2.12%

0.00%

SPY annualized return over the backtest window (backtest)

14.97%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.92

—

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

2.09

53.07

Maximum drawdown, backtest period (backtest)

-7.96%

—

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

-7.96%

-1.27%

Sharpe ratio, backtest period (backtest)

3.63

—

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

1.33

4.69

Sortino ratio, backtest period (backtest)

7.72

—

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

2.58

—

Standard deviation, backtest period (backtest)

10.79%

—

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

12.15%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

4,025

—

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