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Semiconductor K Wave: SOXL Dips, SOXS Spikes, SMH Trend 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)

hedged, leveraged etfs, mean reversion, momentum, semiconductors, short-term trading, tactical sector rotation, volatility-adaptive

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)

1.51

—

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

0.35

—

Trading activity

Annualized turnover, backtest period (backtest)

113.63

—

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

113.35

—

Daily win rate, backtest period (backtest)

54.43%

—

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

51.77%

—

Backtest

Backtest final value (from $10,000)

$29.7M

—

Backtest regulatory fees

$235k

—

Backtest slippage cost

$2.2M

—

Returns

Backtest length

3,522

—

Out-of-sample length

1,018

—

Return, backtest period (annualized) (backtest)

77.18%

—

Return, backtest period (cumulative) (backtest)

297k%

—

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

23.43%

67.14%

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

134.26%

4.80%

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

-1.59%

—

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

-10.22%

4.80%

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

-11.76%

—

Return, trailing 1 year (backtest)

-14.39%

—

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

-14.41%

0.00%

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

-10.91%

—

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

-15.84%

0.00%

SPY annualized return over the backtest window (backtest)

14.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.52

—

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

0.46

53.07

Maximum drawdown, backtest period (backtest)

-50.65%

—

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

-50.65%

-1.27%

Sharpe ratio, backtest period (backtest)

1.32

—

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

0.64

4.69

Sortino ratio, backtest period (backtest)

2.17

—

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

0.98

—

Standard deviation, backtest period (backtest)

53.85%

—

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

67.38%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.66

—

Construction

Logic complexity (node count)

834

—

Rebalance corridor width

8.00%

1.00%

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