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Sharpe-Tuned Golden Ratio Leveraged Multi-Asset Rotation 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)

emerging markets, gold, leveraged etfs, reits, risk-on/off, tactical allocation, treasuries, trend/momentum, 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)

0.24

—

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

0.80

—

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

0.43

—

Trading activity

Annualized turnover, backtest period (backtest)

35.89

—

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

32.44

—

Daily win rate, backtest period (backtest)

58.52%

—

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

55.38%

—

Backtest

Backtest final value (from $10,000)

$1.7B

—

Backtest regulatory fees

$2.4M

—

Backtest slippage cost

$22.5M

—

Returns

Backtest length

3,775

—

Out-of-sample length

390

—

Return, backtest period (annualized) (backtest)

123.35%

—

Return, backtest period (cumulative) (backtest)

16950k%

—

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

45.33%

3.62%

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

78.62%

2.81%

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

0.63%

—

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

5.11%

0.34%

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

-0.33%

—

Return, trailing 1 year (backtest)

47.69%

—

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

47.65%

86.44%

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

0.20%

—

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

11.66%

0.95%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.70

—

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

1.86

331.36

Maximum drawdown, backtest period (backtest)

-26.26%

—

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

-24.41%

-0.01%

Sharpe ratio, backtest period (backtest)

2.86

—

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

1.34

18.06

Sortino ratio, backtest period (backtest)

4.96

—

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

2.06

—

Standard deviation, backtest period (backtest)

29.63%

—

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

31.62%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.26

—

Construction

Logic complexity (node count)

200

—

Rebalance corridor width

—

9.00%

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