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SOXL/SOXS Switch on BIL vs BND 7-Day Momentum vs Macro-Filtered Short-Term Momentum with Mean Reversion

Every published figureShow 27 attributes

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

Classification

AI categories (Composer)

bond-vs-cash signal, daily rebalancing, leveraged etfs, momentum (rsi), semiconductors, tactical rotation

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, 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)

5.96

—

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

0.78

—

Trading activity

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

0.00

—

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

55.00%

—

Risk metrics

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

0.82

180.23

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

-87.88%

-0.42%

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

1.05

9.00

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

1.53

—

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

115.30%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Returns

Out-of-sample length

800

—

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

72.29%

76.55%

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

463.57%

3.91%

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

-1.94%

—

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

11.11%

0.00%

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

-14.63%

—

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

231.09%

0.00%

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

-7.72%

—

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

-27.33%

0.00%

Popularity

Remixes (copies)

—

Watchers

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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