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Rate Momentum: Bull/Bear 3x Sectors by Stock and Bond RSI 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)

daily rebalance, leveraged equity sector etfs, momentum and mean-reversion, risk-on/off via rsi of bonds vs small-caps, tactical multi-asset

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)

0.28

—

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

0.83

—

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

0.21

—

Trading activity

Annualized turnover, backtest period (backtest)

120.86

—

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

121.01

—

Daily win rate, backtest period (backtest)

53.92%

—

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

51.54%

—

Backtest

Backtest final value (from $10,000)

$1.3M

—

Backtest regulatory fees

$10k

—

Backtest slippage cost

$78k

—

Returns

Backtest length

1,734

—

Out-of-sample length

683

—

Return, backtest period (annualized) (backtest)

101.96%

—

Return, backtest period (cumulative) (backtest)

13k%

—

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

29.66%

261.52%

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

102.38%

6.85%

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

3.49%

—

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

16.66%

1.95%

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

9.95%

—

Return, trailing 1 year (backtest)

21.36%

—

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

21.35%

0.00%

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

14.23%

—

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

-5.64%

6.14%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.33

—

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

0.61

376.45

Maximum drawdown, backtest period (backtest)

-76.92%

—

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

-48.61%

-0.69%

Sharpe ratio, backtest period (backtest)

1.37

—

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

0.73

7.79

Sortino ratio, backtest period (backtest)

2.07

—

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

1.10

—

Standard deviation, backtest period (backtest)

69.05%

—

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

61.56%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

—

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