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QLD, TLT and QID Switch on SPY Trend 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)

inverse etfs, leveraged etfs, momentum, moving average, nasdaq-100, rsi, tactical allocation, treasuries, trend-following

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)

0.02

—

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

1.87

—

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

0.72

—

Trading activity

Annualized turnover, backtest period (backtest)

21.98

—

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

13.01

—

Daily win rate, backtest period (backtest)

56.42%

—

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

55.25%

—

Backtest

Backtest final value (from $10,000)

$461.9M

—

Backtest regulatory fees

$374k

—

Backtest slippage cost

$3.6M

—

Returns

Backtest length

5,080

—

Out-of-sample length

581

—

Return, backtest period (annualized) (backtest)

70.35%

—

Return, backtest period (cumulative) (backtest)

4619k%

—

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

31.20%

67.14%

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

87.23%

4.80%

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

0.90%

—

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

9.41%

4.80%

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

0.30%

—

Return, trailing 1 year (backtest)

16.66%

—

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

16.66%

0.00%

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

1.52%

—

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

5.70%

0.00%

SPY annualized return over the backtest window (backtest)

11.40%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.70

—

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

0.87

53.07

Maximum drawdown, backtest period (backtest)

-41.42%

—

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

-35.69%

-1.27%

Sharpe ratio, backtest period (backtest)

1.49

—

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

0.85

4.69

Sortino ratio, backtest period (backtest)

2.35

—

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

1.28

—

Standard deviation, backtest period (backtest)

41.32%

—

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

42.07%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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