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Multi-Strategy Rotation into Recent Winners 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, risk-on/risk-off, tactical multi-strategy, tech/semis tilt, trend/momentum, 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)

0.01

—

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

2.47

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

85.85

—

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

82.42

—

Daily win rate, backtest period (backtest)

57.22%

—

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

54.29%

—

Backtest

Backtest final value (from $10,000)

$184k

—

Backtest regulatory fees

$626

—

Backtest slippage cost

$4,983

—

Returns

Backtest length

755

—

Out-of-sample length

490

—

Return, backtest period (annualized) (backtest)

164.21%

—

Return, backtest period (cumulative) (backtest)

1744%

—

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

33.95%

67.14%

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

76.73%

4.80%

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

-0.24%

—

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

6.27%

4.80%

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

-2.63%

—

Return, trailing 1 year (backtest)

24.77%

—

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

24.77%

0.00%

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

-0.71%

—

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

28.15%

0.00%

SPY annualized return over the backtest window (backtest)

23.90%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.71

—

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

0.77

53.07

Maximum drawdown, backtest period (backtest)

-44.30%

—

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

-44.30%

-1.27%

Sharpe ratio, backtest period (backtest)

2.03

—

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

0.76

4.69

Sortino ratio, backtest period (backtest)

4.06

—

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

1.43

—

Standard deviation, backtest period (backtest)

54.70%

—

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

58.38%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

714

—

Rebalance corridor width

5.00%

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