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SOXL Rebound After SPY 2-Day Drop, Else Staples 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)

consumer staples, leveraged etf, mean reversion, risk-on/risk-off, semiconductors, short-term, tactical rotation

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)

0.43

—

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

1.73

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

25.98

—

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

30.60

—

Daily win rate, backtest period (backtest)

53.46%

—

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

51.80%

—

Backtest

Backtest final value (from $10,000)

$3.9M

—

Backtest regulatory fees

$3,562

—

Backtest slippage cost

$25k

—

Returns

Backtest length

4,171

—

Out-of-sample length

807

—

Return, backtest period (annualized) (backtest)

43.49%

—

Return, backtest period (cumulative) (backtest)

39k%

—

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

88.73%

67.14%

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

666.39%

4.80%

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

0.01%

—

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

5.99%

4.80%

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

3.60%

—

Return, trailing 1 year (backtest)

481.50%

—

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

481.50%

0.00%

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

1.67%

—

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

57.70%

0.00%

SPY annualized return over the backtest window (backtest)

14.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.07

—

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

2.19

53.07

Maximum drawdown, backtest period (backtest)

-40.66%

—

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

-40.49%

-1.27%

Sharpe ratio, backtest period (backtest)

1.12

—

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

1.44

4.69

Sortino ratio, backtest period (backtest)

2.01

—

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

3.12

—

Standard deviation, backtest period (backtest)

38.77%

—

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

52.79%

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

5.00%

1.00%

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