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Semiconductor RSI Mean Reversion with SOXL/SOXS 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)

high volatility, leveraged etfs, long/short, mean reversion, rsi, semiconductors, tactical, trend/momentum

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)

0.22

—

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

1.49

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

26.92

—

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

26.91

—

Daily win rate, backtest period (backtest)

54.94%

—

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

54.52%

—

Backtest

Backtest final value (from $10,000)

$1.8M

—

Backtest regulatory fees

$1,981

—

Backtest slippage cost

$17k

—

Returns

Backtest length

3,522

—

Out-of-sample length

1,018

—

Return, backtest period (annualized) (backtest)

44.77%

—

Return, backtest period (cumulative) (backtest)

18k%

—

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

48.77%

3.62%

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

398.35%

2.81%

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

-0.65%

—

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

4.41%

0.34%

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

-3.55%

—

Return, trailing 1 year (backtest)

113.39%

—

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

113.38%

86.44%

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

-0.47%

—

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

2.15%

0.95%

SPY annualized return over the backtest window (backtest)

14.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.97

—

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

1.10

331.36

Maximum drawdown, backtest period (backtest)

-46.32%

—

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

-44.48%

-0.01%

Sharpe ratio, backtest period (backtest)

1.15

—

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

1.05

18.06

Sortino ratio, backtest period (backtest)

1.82

—

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

1.73

—

Standard deviation, backtest period (backtest)

38.48%

—

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

48.39%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.87

—

Construction

Logic complexity (node count)

132

—

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