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No K-1 Tech and Treasury Switch with SQQQ/VXX Hedges vs Bond and Defensive Signals Gate for TQQQ

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, macro regime filter, momentum & mean‑reversion, tactical rotation, volatility hedging

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

Asset classes / instruments

equities

Market-relative

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

0.41

—

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

1.42

—

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

0.25

—

Trading activity

Annualized turnover, backtest period (backtest)

117.98

—

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

107.81

—

Daily win rate, backtest period (backtest)

56.25%

—

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

52.81%

—

Backtest

Backtest final value (from $10,000)

$8.7B

—

Backtest regulatory fees

$53.9M

—

Backtest slippage cost

$520.0M

—

Returns

Backtest length

1,728

—

Out-of-sample length

748

—

Return, backtest period (annualized) (backtest)

633.65%

—

Return, backtest period (cumulative) (backtest)

86737k%

—

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

45.59%

207.42%

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

205.39%

17.40%

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

-1.68%

—

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

6.05%

17.20%

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

11.79%

—

Return, trailing 1 year (backtest)

5.91%

—

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

5.85%

0.00%

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

14.13%

—

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

75.70%

0.00%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

8.67

—

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

0.62

43.28

Maximum drawdown, backtest period (backtest)

-73.13%

—

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

-73.13%

-4.79%

Sharpe ratio, backtest period (backtest)

2.75

—

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

0.84

3.80

Sortino ratio, backtest period (backtest)

5.01

—

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

1.41

—

Standard deviation, backtest period (backtest)

85.65%

—

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

85.52%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

1,261

—

Rebalance corridor width

9.00%

—

Rebalance frequency

none

daily

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