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Serenity Golden Ratio Five-Sleeve Leveraged Rotation 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)

inverse & volatility hedges, leveraged etfs, tactical allocation, tech/gold/em/reits, treasuries, trend/mean‑reversion

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)

0.22

—

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

0.67

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

32.59

—

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

27.94

—

Daily win rate, backtest period (backtest)

58.01%

—

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

55.38%

—

Backtest

Backtest final value (from $10,000)

$173.7M

—

Backtest regulatory fees

$250k

—

Backtest slippage cost

$2.3M

—

Returns

Backtest length

3,775

—

Out-of-sample length

390

—

Return, backtest period (annualized) (backtest)

91.85%

—

Return, backtest period (cumulative) (backtest)

1737k%

—

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

38.27%

67.14%

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

65.33%

4.80%

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

-0.46%

—

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

0.65%

4.80%

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

-0.62%

—

Return, trailing 1 year (backtest)

31.25%

—

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

31.22%

0.00%

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

-1.67%

—

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

0.69%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.98

—

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

1.66

53.07

Maximum drawdown, backtest period (backtest)

-23.05%

—

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

-23.06%

-1.27%

Sharpe ratio, backtest period (backtest)

2.72

—

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

1.21

4.69

Sortino ratio, backtest period (backtest)

4.55

—

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

1.83

—

Standard deviation, backtest period (backtest)

25.11%

—

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

30.74%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.28

—

Construction

Logic complexity (node count)

200

—

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