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TEC/SOX/HIB with UVXY: Dip Buys and Fades vs Oil, Gas, Semis and Treasuries Short-Term Pair 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)

bond risk filter, high risk, leveraged etfs, mean-reversion + trend, tactical, tech & semis, volatility (uvxy)

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)

0.56

—

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

-0.21

—

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

-0.04

—

Trading activity

Annualized turnover, backtest period (backtest)

124.10

—

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

115.01

—

Daily win rate, backtest period (backtest)

53.68%

—

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

47.79%

—

Backtest

Backtest final value (from $10,000)

$1.8B

—

Backtest regulatory fees

$17.1M

—

Backtest slippage cost

$165.4M

—

Returns

Backtest length

1,725

—

Out-of-sample length

927

—

Return, backtest period (annualized) (backtest)

487.05%

—

Return, backtest period (cumulative) (backtest)

18399k%

—

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

22.61%

261.52%

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

111.82%

6.85%

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

-2.54%

—

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

2.71%

1.95%

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

3.35%

—

Return, trailing 1 year (backtest)

-45.03%

—

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

-45.05%

0.00%

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

0.69%

—

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

102.08%

6.14%

SPY annualized return over the backtest window (backtest)

15.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.46

—

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

0.25

376.45

Maximum drawdown, backtest period (backtest)

-89.13%

—

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

-89.13%

-0.69%

Sharpe ratio, backtest period (backtest)

2.39

—

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

0.64

7.79

Sortino ratio, backtest period (backtest)

4.58

—

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

1.09

—

Standard deviation, backtest period (backtest)

90.21%

—

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

81.98%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.78

—

Construction

Logic complexity (node count)

397

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

319

—

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