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Multi-Lookback Leveraged Risk and Ballast Momentum 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)

leveraged etfs, momentum, risk-on/risk-off, tactical allocation, trend-following, volatility weighting

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)

1.11

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

5.81

—

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

8.70

—

Daily win rate, backtest period (backtest)

55.88%

—

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

53.87%

—

Backtest

Backtest final value (from $10,000)

$82k

—

Backtest regulatory fees

$42

—

Backtest slippage cost

$280

—

Returns

Backtest length

2,550

—

Out-of-sample length

568

—

Return, backtest period (annualized) (backtest)

23.14%

—

Return, backtest period (cumulative) (backtest)

722.13%

—

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

14.15%

67.14%

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

34.41%

4.80%

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

-0.34%

—

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

0.11%

4.80%

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

-1.24%

—

Return, trailing 1 year (backtest)

54.42%

—

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

56.44%

0.00%

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

-1.76%

—

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

7.12%

0.00%

SPY annualized return over the backtest window (backtest)

15.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.51

—

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

0.40

53.07

Maximum drawdown, backtest period (backtest)

-45.53%

—

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

-35.31%

-1.27%

Sharpe ratio, backtest period (backtest)

0.93

—

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

0.66

4.69

Sortino ratio, backtest period (backtest)

1.27

—

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

0.86

—

Standard deviation, backtest period (backtest)

26.26%

—

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

25.07%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.12

—

Construction

Logic complexity (node count)

364

—

Rebalance corridor width

20.00%

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