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Popcorn Tech/Semis Dips with Managed Futures and Commodities 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)

buy-the-dip/sell-the-rip, commodities, daily tactical rotation, leveraged etfs, managed futures, t‑bills fallback

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)

0.36

—

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

0.48

—

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

0.13

—

Trading activity

Annualized turnover, backtest period (backtest)

98.98

—

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

96.67

—

Daily win rate, backtest period (backtest)

57.39%

—

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

52.77%

—

Backtest

Backtest final value (from $10,000)

$149k

—

Backtest regulatory fees

$632

—

Backtest slippage cost

$4,925

—

Returns

Backtest length

683

—

Out-of-sample length

343

—

Return, backtest period (annualized) (backtest)

170.37%

—

Return, backtest period (cumulative) (backtest)

1387%

—

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

44.91%

67.14%

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

65.93%

4.80%

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

-0.77%

—

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

-0.65%

4.80%

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

-0.63%

—

Return, trailing 1 year (backtest)

34.46%

—

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

34.46%

0.00%

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

1.47%

—

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

10.39%

0.00%

SPY annualized return over the backtest window (backtest)

20.71%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.52

—

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

1.46

53.07

Maximum drawdown, backtest period (backtest)

-30.84%

—

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

-30.84%

-1.27%

Sharpe ratio, backtest period (backtest)

2.01

—

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

1.07

4.69

Sortino ratio, backtest period (backtest)

3.71

—

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

1.56

—

Standard deviation, backtest period (backtest)

57.05%

—

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

43.87%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.48

—

Construction

Logic complexity (node count)

6,892

—

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