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QLD Trend and Dip-Buy with Oversold Defensive Rotation 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)

daily rebalancing, defensive rotation (xlp/xlu/vbf), leveraged etf (qld), mean reversion, nasdaq-100 signals, 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)

-0.07

—

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

1.80

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

50.17

—

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

41.50

—

Daily win rate, backtest period (backtest)

56.37%

—

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

52.99%

—

Backtest

Backtest final value (from $10,000)

$30.2M

—

Backtest regulatory fees

$91k

—

Backtest slippage cost

$816k

—

Returns

Backtest length

5,113

—

Out-of-sample length

334

—

Return, backtest period (annualized) (backtest)

48.43%

—

Return, backtest period (cumulative) (backtest)

302k%

—

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

39.69%

67.14%

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

54.71%

4.80%

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

-5.02%

—

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

7.53%

4.80%

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

-7.53%

—

Return, trailing 1 year (backtest)

14.93%

—

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

25.85%

0.00%

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

-10.09%

—

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

-0.09%

0.00%

SPY annualized return over the backtest window (backtest)

11.36%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.54

—

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

2.01

53.07

Maximum drawdown, backtest period (backtest)

-31.49%

—

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

-19.71%

-1.27%

Sharpe ratio, backtest period (backtest)

1.47

—

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

1.29

4.69

Sortino ratio, backtest period (backtest)

2.30

—

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

1.47

—

Standard deviation, backtest period (backtest)

29.77%

—

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

29.36%

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