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Quarterly SPDR Sector Dip Buyer (Bottom 3) 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)

mean reversion, quarterly rebalance, sector rotation, spdr sector etfs, us large-cap sectors

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)

0.03

—

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

0.80

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

3.23

—

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

3.42

—

Daily win rate, backtest period (backtest)

53.55%

—

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

54.57%

—

Backtest

Backtest final value (from $10,000)

$286k

—

Backtest regulatory fees

$125

—

Backtest slippage cost

$915

—

Returns

Backtest length

6,977

—

Out-of-sample length

940

—

Return, backtest period (annualized) (backtest)

12.87%

—

Return, backtest period (cumulative) (backtest)

2761%

—

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

20.14%

261.52%

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

98.42%

6.85%

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

0.69%

—

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

-1.51%

1.95%

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

2.48%

—

Return, trailing 1 year (backtest)

21.76%

—

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

21.76%

0.00%

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

2.69%

—

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

3.28%

6.14%

SPY annualized return over the backtest window (backtest)

8.75%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.28

—

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

1.14

376.45

Maximum drawdown, backtest period (backtest)

-45.95%

—

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

-17.63%

-0.69%

Sharpe ratio, backtest period (backtest)

0.70

—

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

1.34

7.79

Sortino ratio, backtest period (backtest)

1.02

—

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

2.04

—

Standard deviation, backtest period (backtest)

20.26%

—

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

14.49%

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)

—

Rebalance frequency

quarterly

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