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Semiconductor 1-Day Return Mean Reversion vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

leveraged etfs, mean reversion, rsi, semiconductors, trend filter, volatility hedge

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.40

—

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

0.91

—

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

0.22

—

Trading activity

Annualized turnover, backtest period (backtest)

107.99

—

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

134.29

—

Daily win rate, backtest period (backtest)

54.66%

—

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

52.46%

—

Backtest

Backtest final value (from $10,000)

$27.4M

—

Backtest regulatory fees

$142k

—

Backtest slippage cost

$1.3M

—

Returns

Backtest length

3,522

—

Out-of-sample length

1,018

—

Return, backtest period (annualized) (backtest)

76.14%

—

Return, backtest period (cumulative) (backtest)

273k%

—

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

44.87%

3.62%

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

347.59%

2.81%

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

-1.37%

—

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

-18.78%

0.34%

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

-4.75%

—

Return, trailing 1 year (backtest)

124.07%

—

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

124.02%

86.44%

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

-1.70%

—

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

-2.69%

0.95%

SPY annualized return over the backtest window (backtest)

14.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.46

—

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

0.86

331.36

Maximum drawdown, backtest period (backtest)

-52.11%

—

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

-52.12%

-0.01%

Sharpe ratio, backtest period (backtest)

1.31

—

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

0.88

18.06

Sortino ratio, backtest period (backtest)

2.18

—

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

1.42

—

Standard deviation, backtest period (backtest)

54.26%

—

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

66.13%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.78

—

Construction

Logic complexity (node count)

195

—

Rebalance corridor width

8.00%

9.00%

Rebalance frequency

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