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Compare investment strategies

Single TQQQ Holding with Drawdown Filter vs Domestic Leveraged Sector Trend Rotation

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

concentrated, daily rebalance, drawdown filter, high risk, leveraged etf, momentum filter, nasdaq-100

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)

3.69

—

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

0.95

—

Trading activity

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

—

Daily win rate, backtest period (backtest)

55.70%

—

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

56.48%

—

Backtest

Backtest final value (from $10,000)

$4.0M

—

Backtest regulatory fees

—

Backtest slippage cost

—

Returns

Backtest length

4,111

—

Out-of-sample length

432

—

Return, backtest period (annualized) (backtest)

44.33%

—

Return, backtest period (cumulative) (backtest)

40k%

—

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

47.52%

67.14%

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

95.05%

4.80%

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

1.31%

—

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

13.82%

4.80%

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

0.33%

—

Return, trailing 1 year (backtest)

51.01%

—

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

51.01%

0.00%

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

2.11%

—

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

6.68%

0.00%

SPY annualized return over the backtest window (backtest)

15.07%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.54

—

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

0.84

53.07

Maximum drawdown, backtest period (backtest)

-81.66%

—

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

-56.84%

-1.27%

Sharpe ratio, backtest period (backtest)

0.91

—

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

0.91

4.69

Sortino ratio, backtest period (backtest)

1.29

—

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

1.36

—

Standard deviation, backtest period (backtest)

61.01%

—

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

66.13%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

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