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SPY Trend: 70% 2x S&P with Defensive Winners Rotation vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

defensive assets, diversified, etfs, leveraged equity, momentum, risk-on/risk-off, tactical asset allocation, trend-following

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.06

—

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

0.78

—

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

0.72

—

Trading activity

Annualized turnover, backtest period (backtest)

13.00

—

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

11.71

—

Daily win rate, backtest period (backtest)

55.87%

—

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

55.94%

—

Backtest

Backtest final value (from $10,000)

$60k

—

Backtest regulatory fees

$107

—

Backtest slippage cost

$707

—

Returns

Backtest length

2,846

—

Out-of-sample length

926

—

Return, backtest period (annualized) (backtest)

17.27%

—

Return, backtest period (cumulative) (backtest)

504.60%

—

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

21.96%

3.62%

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

107.56%

2.81%

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

0.99%

—

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

3.00%

0.34%

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

2.12%

—

Return, trailing 1 year (backtest)

9.13%

—

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

9.13%

86.44%

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

1.51%

—

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

2.97%

0.95%

SPY annualized return over the backtest window (backtest)

14.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.64

—

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

1.64

331.36

Maximum drawdown, backtest period (backtest)

-27.03%

—

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

-13.40%

-0.01%

Sharpe ratio, backtest period (backtest)

0.98

—

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

1.31

18.06

Sortino ratio, backtest period (backtest)

1.36

—

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

1.89

—

Standard deviation, backtest period (backtest)

17.86%

—

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

16.14%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

9.00%

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