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Regime Switcher: Leveraged Growth, Junk-Bond Check vs Rising Rates Volatility Switch Risk-Parity Mix

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)

bonds, hedged equities, leveraged etfs, regime switching, risk management, sector rotation, tactical allocation, trend following, volatility hedging

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

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)

0.77

—

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

0.51

—

Trading activity

Annualized turnover, backtest period (backtest)

71.79

—

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

71.27

—

Daily win rate, backtest period (backtest)

57.58%

—

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

51.04%

—

Backtest

Backtest final value (from $10,000)

$235k

—

Backtest regulatory fees

$1,132

—

Backtest slippage cost

$8,811

—

Returns

Backtest length

1,122

—

Out-of-sample length

627

—

Return, backtest period (annualized) (backtest)

103.14%

—

Return, backtest period (cumulative) (backtest)

2253%

—

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

16.71%

3.62%

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

46.45%

2.81%

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

-2.32%

—

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

-3.19%

0.34%

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

-1.66%

—

Return, trailing 1 year (backtest)

21.15%

—

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

26.24%

6.30%

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

0.26%

—

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

9.62%

0.95%

SPY annualized return over the backtest window (backtest)

15.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.17

—

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

0.51

331.36

Maximum drawdown, backtest period (backtest)

-32.56%

—

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

-32.56%

-0.01%

Sharpe ratio, backtest period (backtest)

3.21

—

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

0.76

18.06

Sortino ratio, backtest period (backtest)

5.97

—

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

1.21

—

Standard deviation, backtest period (backtest)

22.91%

—

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

24.19%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.18

—

Construction

Logic complexity (node count)

1,619

—

Rebalance corridor width

—

5.00%

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