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Simplified TQQQ/TECL Trend with VIX and Treasury Switch 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)

leveraged etfs, market timing, mean-reversion, risk-on/off, tactical allocation, trend-following, volatility filter

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)

-0.04

—

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

2.98

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

21.33

—

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

19.78

—

Daily win rate, backtest period (backtest)

55.73%

—

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

56.34%

—

Backtest

Backtest final value (from $10,000)

$82.2M

—

Backtest regulatory fees

$91k

—

Backtest slippage cost

$863k

—

Returns

Backtest length

3,781

—

Out-of-sample length

465

—

Return, backtest period (annualized) (backtest)

82.32%

—

Return, backtest period (cumulative) (backtest)

822k%

—

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

29.90%

67.14%

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

61.21%

4.80%

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

-9.21%

—

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

17.07%

4.80%

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

-16.21%

—

Return, trailing 1 year (backtest)

24.42%

—

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

49.31%

0.00%

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

-22.02%

—

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

12.75%

0.00%

SPY annualized return over the backtest window (backtest)

15.65%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.49

—

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

0.59

53.07

Maximum drawdown, backtest period (backtest)

-55.18%

—

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

-50.72%

-1.27%

Sharpe ratio, backtest period (backtest)

1.27

—

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

0.72

4.69

Sortino ratio, backtest period (backtest)

1.98

—

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

0.82

—

Standard deviation, backtest period (backtest)

62.62%

—

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

75.21%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

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