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QQQ 1-Day Mean Reversion with 2x ETFs 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)

leveraged/inverse etfs, mean reversion, nasdaq-100, semiconductors, small caps, t-bill/treasury hedges, tactical, trend filter

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)

0.16

—

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

1.23

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

38.83

—

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

25.84

—

Daily win rate, backtest period (backtest)

55.79%

—

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

56.53%

—

Backtest

Backtest final value (from $10,000)

$6.7M

—

Backtest regulatory fees

$13k

—

Backtest slippage cost

$108k

—

Returns

Backtest length

4,872

—

Out-of-sample length

980

—

Return, backtest period (annualized) (backtest)

40.06%

—

Return, backtest period (cumulative) (backtest)

67k%

—

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

45.79%

67.14%

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

333.89%

4.80%

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

0.49%

—

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

4.99%

4.80%

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

0.23%

—

Return, trailing 1 year (backtest)

40.88%

—

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

40.87%

0.00%

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

0.91%

—

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

3.02%

0.00%

SPY annualized return over the backtest window (backtest)

10.78%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.49

—

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

1.91

53.07

Maximum drawdown, backtest period (backtest)

-26.91%

—

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

-23.96%

-1.27%

Sharpe ratio, backtest period (backtest)

1.39

—

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

1.67

4.69

Sortino ratio, backtest period (backtest)

2.34

—

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

2.83

—

Standard deviation, backtest period (backtest)

26.83%

—

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

24.34%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.99

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

7.00%

1.00%

Rebalance frequency

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