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Pareto-Style Rotation with Commodities and EM Funds 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/duration, commodities rotation, leveraged etfs, multi-asset tactical, risk-on/off, trend/momentum, volatility hedge

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)

0.05

—

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

2.50

—

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

0.68

—

Trading activity

Annualized turnover, backtest period (backtest)

58.09

—

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

66.73

—

Daily win rate, backtest period (backtest)

55.20%

—

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

52.50%

—

Backtest

Backtest final value (from $10,000)

$149.3M

—

Backtest regulatory fees

$397k

—

Backtest slippage cost

$3.8M

—

Returns

Backtest length

2,375

—

Out-of-sample length

400

—

Return, backtest period (annualized) (backtest)

177.14%

—

Return, backtest period (cumulative) (backtest)

1493k%

—

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

51.23%

67.14%

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

93.14%

4.80%

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

0.88%

—

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

3.50%

4.80%

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

-0.20%

—

Return, trailing 1 year (backtest)

35.67%

—

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

35.62%

0.00%

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

0.01%

—

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

28.33%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.22

—

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

1.22

53.07

Maximum drawdown, backtest period (backtest)

-41.97%

—

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

-41.97%

-1.27%

Sharpe ratio, backtest period (backtest)

2.34

—

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

0.94

4.69

Sortino ratio, backtest period (backtest)

4.44

—

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

1.83

—

Standard deviation, backtest period (backtest)

48.42%

—

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

63.02%

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)

178

—

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