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Multi-Engine Leveraged Trend with Treasury Fallback 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/rates, em rotation, hedging, leveraged etfs, tactical allocation, trend + mean reversion, volatility trading

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)

0.24

—

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

1.60

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

61.54

—

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

60.66

—

Daily win rate, backtest period (backtest)

57.63%

—

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

53.54%

—

Backtest

Backtest final value (from $10,000)

$69.4B

—

Backtest regulatory fees

$149.3M

—

Backtest slippage cost

$1.4B

—

Returns

Backtest length

3,557

—

Out-of-sample length

523

—

Return, backtest period (annualized) (backtest)

205.19%

—

Return, backtest period (cumulative) (backtest)

694487k%

—

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

58.18%

67.14%

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

159.50%

4.80%

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

1.93%

—

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

8.04%

4.80%

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

2.11%

—

Return, trailing 1 year (backtest)

48.36%

—

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

48.30%

0.00%

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

1.70%

—

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

15.74%

0.00%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.13

—

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

2.29

53.07

Maximum drawdown, backtest period (backtest)

-33.48%

—

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

-25.42%

-1.27%

Sharpe ratio, backtest period (backtest)

2.59

—

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

1.24

4.69

Sortino ratio, backtest period (backtest)

5.37

—

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

2.12

—

Standard deviation, backtest period (backtest)

47.23%

—

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

44.77%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

3,071

—

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