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SOXL/SOXS Daily Semiconductor RSI Reversal 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)

daily rebalancing, leveraged etfs, rsi/mean‑reversion, semiconductors, tactical allocation, volatility regimes

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)

0.39

—

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

3.23

—

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

0.57

—

Trading activity

Annualized turnover, backtest period (backtest)

76.60

—

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

78.80

—

Daily win rate, backtest period (backtest)

54.57%

—

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

56.02%

—

Backtest

Backtest final value (from $10,000)

$1.2B

—

Backtest regulatory fees

$3.7M

—

Backtest slippage cost

$36.1M

—

Returns

Backtest length

3,691

—

Out-of-sample length

964

—

Return, backtest period (annualized) (backtest)

121.84%

—

Return, backtest period (cumulative) (backtest)

11740k%

—

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

95.84%

67.14%

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

1211%

4.80%

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

-0.99%

—

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

-8.57%

4.80%

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

-7.16%

—

Return, trailing 1 year (backtest)

63.62%

—

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

63.59%

0.00%

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

-7.37%

—

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

-13.51%

0.00%

SPY annualized return over the backtest window (backtest)

14.71%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.77

—

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

1.39

53.07

Maximum drawdown, backtest period (backtest)

-68.95%

—

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

-68.95%

-1.27%

Sharpe ratio, backtest period (backtest)

1.52

—

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

1.21

4.69

Sortino ratio, backtest period (backtest)

2.40

—

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

1.87

—

Standard deviation, backtest period (backtest)

67.41%

—

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

85.03%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.80

—

Construction

Logic complexity (node count)

2,362

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

756

—

Watchers

263

—

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