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Multi-Asset Rate Trader with Volatility 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 hedging, interest-rate trading, leveraged etfs, momentum, multi-asset tactical, trend following, volatility timing

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)

0.02

—

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

0.92

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

23.19

—

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

24.20

—

Daily win rate, backtest period (backtest)

59.47%

—

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

58.40%

—

Backtest

Backtest final value (from $10,000)

$2.0M

—

Backtest regulatory fees

$4,923

—

Backtest slippage cost

$37k

—

Returns

Backtest length

3,200

—

Out-of-sample length

827

—

Return, backtest period (annualized) (backtest)

52.00%

—

Return, backtest period (cumulative) (backtest)

20k%

—

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

21.18%

67.14%

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

87.99%

4.80%

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

0.05%

—

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

3.30%

4.80%

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

1.02%

—

Return, trailing 1 year (backtest)

8.34%

—

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

8.34%

0.00%

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

0.80%

—

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

9.12%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.36

—

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

0.96

53.07

Maximum drawdown, backtest period (backtest)

-21.99%

—

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

-22.00%

-1.27%

Sharpe ratio, backtest period (backtest)

2.11

—

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

1.13

4.69

Sortino ratio, backtest period (backtest)

3.70

—

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

1.77

—

Standard deviation, backtest period (backtest)

20.87%

—

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

18.55%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.16

—

Construction

Logic complexity (node count)

476

—

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