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Risk Thermostat with Leveraged Tech 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)

daily rebalance, leveraged etfs, macro-aware, momentum+mean reversion, multi-asset, regime-switching, rules-based, 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)

0.36

—

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

1.01

—

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

0.18

—

Trading activity

Annualized turnover, backtest period (backtest)

114.19

—

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

107.51

—

Daily win rate, backtest period (backtest)

56.37%

—

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

51.40%

—

Backtest

Backtest final value (from $10,000)

$21.9B

—

Backtest regulatory fees

$207.1M

—

Backtest slippage cost

$2.0B

—

Returns

Backtest length

1,728

—

Out-of-sample length

961

—

Return, backtest period (annualized) (backtest)

739.50%

—

Return, backtest period (cumulative) (backtest)

218688k%

—

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

27.73%

3.62%

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

154.52%

2.81%

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

-1.68%

—

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

-1.60%

0.34%

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

11.79%

—

Return, trailing 1 year (backtest)

-40.05%

—

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

-40.08%

6.30%

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

5.90%

—

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

77.08%

0.95%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

9.24

—

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

0.35

331.36

Maximum drawdown, backtest period (backtest)

-80.03%

—

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

-80.04%

-0.01%

Sharpe ratio, backtest period (backtest)

2.73

—

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

0.68

18.06

Sortino ratio, backtest period (backtest)

5.41

—

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

1.14

—

Standard deviation, backtest period (backtest)

92.81%

—

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

83.07%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

793

—

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