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Multi-Asset Tech Risk-On with Energy, Metals, Crypto Short 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)

commodities, crypto, energy, leveraged etfs, mean reversion, momentum, multi-asset, precious metals, tactical timing, 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)

0.03

—

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

1.44

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

59.05

—

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

55.15

—

Daily win rate, backtest period (backtest)

55.15%

—

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

53.97%

—

Backtest

Backtest final value (from $10,000)

$81k

—

Backtest regulatory fees

$294

—

Backtest slippage cost

$2,238

—

Returns

Backtest length

1,077

—

Out-of-sample length

932

—

Return, backtest period (annualized) (backtest)

62.85%

—

Return, backtest period (cumulative) (backtest)

705.39%

—

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

29.52%

67.14%

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

160.54%

4.80%

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

0.30%

—

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

0.13%

4.80%

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

0.78%

—

Return, trailing 1 year (backtest)

32.56%

—

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

32.56%

0.00%

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

0.40%

—

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

6.29%

0.00%

SPY annualized return over the backtest window (backtest)

19.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.17

—

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

1.02

53.07

Maximum drawdown, backtest period (backtest)

-28.92%

—

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

-28.92%

-1.27%

Sharpe ratio, backtest period (backtest)

1.46

—

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

0.85

4.69

Sortino ratio, backtest period (backtest)

2.80

—

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

1.59

—

Standard deviation, backtest period (backtest)

38.29%

—

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

38.27%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.24

—

Construction

Logic complexity (node count)

2,538

—

Rebalance corridor width

10.00%

1.00%

Rebalance frequency

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