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QLD Trend with Commodity, Gold and Staples Ballast vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

commodities, daily rebalanced, gold, leveraged tech, multi-asset, risk-managed, staples, tactical, trend-following

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)

0.15

—

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

1.08

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

20.42

—

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

15.48

—

Daily win rate, backtest period (backtest)

55.63%

—

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

57.19%

—

Backtest

Backtest final value (from $10,000)

$3.7M

—

Backtest regulatory fees

$5,970

—

Backtest slippage cost

$43k

—

Returns

Backtest length

4,967

—

Out-of-sample length

605

—

Return, backtest period (annualized) (backtest)

35.03%

—

Return, backtest period (cumulative) (backtest)

37k%

—

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

39.03%

261.52%

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

120.86%

6.85%

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

0.68%

—

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

4.02%

1.95%

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

0.78%

—

Return, trailing 1 year (backtest)

22.88%

—

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

22.87%

0.00%

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

0.89%

—

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

3.57%

6.14%

SPY annualized return over the backtest window (backtest)

11.02%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.61

—

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

1.85

376.45

Maximum drawdown, backtest period (backtest)

-21.78%

—

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

-21.13%

-0.69%

Sharpe ratio, backtest period (backtest)

1.55

—

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

1.59

7.79

Sortino ratio, backtest period (backtest)

2.38

—

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

2.44

—

Standard deviation, backtest period (backtest)

20.73%

—

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

22.25%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

105

—

Rebalance frequency

daily

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