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S&P Heat Meter Rotation with UVXY, VTIP and 3x Tech 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)

daily rebalance, leveraged etfs, rsi-based, tactical timing, tech tilt, tips safe harbor, us equities, volatility hedge

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)

-0.04

—

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

1.29

—

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

0.57

—

Trading activity

Annualized turnover, backtest period (backtest)

94.09

—

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

93.91

—

Daily win rate, backtest period (backtest)

51.82%

—

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

51.53%

—

Backtest

Backtest final value (from $10,000)

$544k

—

Backtest regulatory fees

$4,875

—

Backtest slippage cost

$41k

—

Returns

Backtest length

3,514

—

Out-of-sample length

848

—

Return, backtest period (annualized) (backtest)

33.18%

—

Return, backtest period (cumulative) (backtest)

5339%

—

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

20.20%

67.14%

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

85.85%

4.80%

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

-0.06%

—

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

4.72%

4.80%

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

0.18%

—

Return, trailing 1 year (backtest)

21.19%

—

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

21.18%

0.00%

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

1.30%

—

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

5.72%

0.00%

SPY annualized return over the backtest window (backtest)

14.73%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.00

—

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

0.68

53.07

Maximum drawdown, backtest period (backtest)

-33.12%

—

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

-29.89%

-1.27%

Sharpe ratio, backtest period (backtest)

1.00

—

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

0.70

4.69

Sortino ratio, backtest period (backtest)

1.79

—

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

1.30

—

Standard deviation, backtest period (backtest)

34.23%

—

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

33.59%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

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