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SPY/QQQ Slices Switching to UVXY When Overheated vs Oil, Gas, Semis and Treasuries Short-Term Pair 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)

daily rebalance, momentum (rsi), qqq, spy, tactical allocation, us equities, uvxy, volatility hedge

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

-0.01

—

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

1.07

—

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

0.93

—

Trading activity

Annualized turnover, backtest period (backtest)

8.99

—

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

9.15

—

Daily win rate, backtest period (backtest)

55.14%

—

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

53.86%

—

Backtest

Backtest final value (from $10,000)

$893k

—

Backtest regulatory fees

$841

—

Backtest slippage cost

$6,800

—

Returns

Backtest length

3,781

—

Out-of-sample length

466

—

Return, backtest period (annualized) (backtest)

34.89%

—

Return, backtest period (cumulative) (backtest)

8831%

—

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

16.62%

261.52%

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

32.48%

6.85%

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

-1.80%

—

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

4.15%

1.95%

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

-2.60%

—

Return, trailing 1 year (backtest)

7.58%

—

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

11.88%

0.00%

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

-2.96%

—

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

4.40%

6.14%

SPY annualized return over the backtest window (backtest)

15.65%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.16

—

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

0.80

376.45

Maximum drawdown, backtest period (backtest)

-29.98%

—

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

-20.78%

-0.69%

Sharpe ratio, backtest period (backtest)

1.42

—

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

0.89

7.79

Sortino ratio, backtest period (backtest)

2.42

—

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

1.19

—

Standard deviation, backtest period (backtest)

22.91%

—

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

19.38%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.49

—

Construction

Logic complexity (node count)

118

—

Rebalance frequency

daily

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