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Panic Defense and Calm Tech/Energy/Commodity Offense vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 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, commodities, daily rebalance, leveraged etfs, multi-asset, risk-on/risk-off, tactical allocation, trend + mean reversion, volatility

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

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)

0.68

—

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

0.45

—

Trading activity

Annualized turnover, backtest period (backtest)

35.37

—

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

37.87

—

Daily win rate, backtest period (backtest)

58.46%

—

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

58.15%

—

Backtest

Backtest final value (from $10,000)

$1.7M

—

Backtest regulatory fees

$4,986

—

Backtest slippage cost

$40k

—

Returns

Backtest length

2,797

—

Out-of-sample length

607

—

Return, backtest period (annualized) (backtest)

58.93%

—

Return, backtest period (cumulative) (backtest)

17k%

—

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

14.43%

261.52%

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

37.98%

6.85%

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

-2.95%

—

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

0.47%

1.95%

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

-2.38%

—

Return, trailing 1 year (backtest)

19.55%

—

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

18.46%

0.00%

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

-1.45%

—

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

2.84%

6.14%

SPY annualized return over the backtest window (backtest)

14.99%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.99

—

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

0.49

376.45

Maximum drawdown, backtest period (backtest)

-29.67%

—

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

-29.67%

-0.69%

Sharpe ratio, backtest period (backtest)

1.92

—

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

0.68

7.79

Sortino ratio, backtest period (backtest)

3.33

—

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

0.81

—

Standard deviation, backtest period (backtest)

25.90%

—

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

24.24%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.24

—

Construction

Logic complexity (node count)

322

—

Rebalance frequency

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