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SOXL/SOXS Daily Switch on Prior-Day SOXX Move 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 switching, leveraged etfs, mean reversion, semiconductors, short-term, single sector, tactical

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)

0.54

—

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

3.86

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

37.58

—

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

60.13

—

Daily win rate, backtest period (backtest)

54.40%

—

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

53.02%

—

Backtest

Backtest final value (from $10,000)

$621.9M

—

Backtest regulatory fees

$1.6M

—

Backtest slippage cost

$15.2M

—

Returns

Backtest length

4,171

—

Out-of-sample length

1,207

—

Return, backtest period (annualized) (backtest)

94.78%

—

Return, backtest period (cumulative) (backtest)

6219k%

—

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

49.64%

67.14%

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

590.40%

4.80%

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

-1.94%

—

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

-38.81%

4.80%

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

-14.63%

—

Return, trailing 1 year (backtest)

98.79%

—

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

98.75%

0.00%

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

-7.72%

—

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

-54.16%

0.00%

SPY annualized return over the backtest window (backtest)

14.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.14

—

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

0.60

53.07

Maximum drawdown, backtest period (backtest)

-83.06%

—

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

-83.06%

-1.27%

Sharpe ratio, backtest period (backtest)

1.19

—

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

0.92

4.69

Sortino ratio, backtest period (backtest)

1.78

—

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

1.39

—

Standard deviation, backtest period (backtest)

91.65%

—

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

115.52%

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)

165

—

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