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Pencil's Down 3x Tech and Crypto Trend Switch vs Oil, Gas, Semis and Treasuries Short-Term Pair 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, crypto, leveraged etfs, momentum, regime-switching, tactical, volatility hedging

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)

1.81

—

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

-0.09

—

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

-0.02

—

Trading activity

Annualized turnover, backtest period (backtest)

73.48

—

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

72.03

—

Daily win rate, backtest period (backtest)

59.56%

—

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

56.79%

—

Backtest

Backtest final value (from $10,000)

$16.5M

—

Backtest regulatory fees

$26k

—

Backtest slippage cost

$223k

—

Returns

Backtest length

1,051

—

Out-of-sample length

—

Return, backtest period (annualized) (backtest)

490.02%

—

Return, backtest period (cumulative) (backtest)

165k%

—

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

404.20%

261.52%

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

69.29%

6.85%

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

0.46%

—

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

2.44%

1.95%

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

-5.16%

—

Return, trailing 1 year (backtest)

162.45%

—

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

0.00%

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

0.86%

—

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

48.12%

6.14%

SPY annualized return over the backtest window (backtest)

18.31%

—

Risk metrics

Calmar ratio, backtest period (backtest)

28.23

—

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

43.68

376.45

Maximum drawdown, backtest period (backtest)

-17.36%

—

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

-9.25%

-0.69%

Sharpe ratio, backtest period (backtest)

3.88

—

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

3.19

7.79

Sortino ratio, backtest period (backtest)

7.91

—

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

5.95

—

Standard deviation, backtest period (backtest)

48.88%

—

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

56.25%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.43

—

Construction

Logic complexity (node count)

6,017

—

Rebalance corridor width

5.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

293

—

Watchers

118

—

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