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S&P Moving-Average Regime with 3x Dips and Bond/Gold Defense 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)

gold, leveraged etfs, mean reversion, risk on/off, tactical asset allocation, treasuries, trend-following, us equities, volatility hedging

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)

-0.14

—

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

3.06

—

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

0.84

—

Trading activity

Annualized turnover, backtest period (backtest)

19.60

—

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

16.54

—

Daily win rate, backtest period (backtest)

55.77%

—

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

56.13%

—

Backtest

Backtest final value (from $10,000)

$17.1M

—

Backtest regulatory fees

$20k

—

Backtest slippage cost

$173k

—

Returns

Backtest length

3,755

—

Out-of-sample length

693

—

Return, backtest period (annualized) (backtest)

64.77%

—

Return, backtest period (cumulative) (backtest)

171k%

—

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

40.47%

67.14%

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

154.94%

4.80%

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

1.31%

—

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

13.23%

4.80%

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

0.33%

—

Return, trailing 1 year (backtest)

20.34%

—

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

20.34%

0.00%

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

2.11%

—

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

8.05%

0.00%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.83

—

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

0.65

53.07

Maximum drawdown, backtest period (backtest)

-77.57%

—

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

-62.66%

-1.27%

Sharpe ratio, backtest period (backtest)

1.16

—

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

0.89

4.69

Sortino ratio, backtest period (backtest)

1.68

—

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

1.22

—

Standard deviation, backtest period (backtest)

57.73%

—

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

56.60%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

185

—

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