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Three-Playbook Leveraged Stock, Bond and Vol Mix 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)

bond rotation, daily rebalancing, leveraged etfs, mean reversion, tactical, trend following, volatility (vix)

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)

0.16

—

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

0.43

—

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

0.33

—

Trading activity

Annualized turnover, backtest period (backtest)

51.02

—

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

47.09

—

Daily win rate, backtest period (backtest)

54.68%

—

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

54.96%

—

Backtest

Backtest final value (from $10,000)

$79k

—

Backtest regulatory fees

$272

—

Backtest slippage cost

$1,986

—

Returns

Backtest length

1,132

—

Out-of-sample length

413

—

Return, backtest period (annualized) (backtest)

58.35%

—

Return, backtest period (cumulative) (backtest)

689.82%

—

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

23.67%

261.52%

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

41.04%

6.85%

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

1.45%

—

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

-2.49%

1.95%

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

0.78%

—

Return, trailing 1 year (backtest)

14.65%

—

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

11.24%

0.00%

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

2.39%

—

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

1.12%

6.14%

SPY annualized return over the backtest window (backtest)

14.48%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.60

—

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

2.48

376.45

Maximum drawdown, backtest period (backtest)

-22.45%

—

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

-9.53%

-0.69%

Sharpe ratio, backtest period (backtest)

1.95

—

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

1.05

7.79

Sortino ratio, backtest period (backtest)

3.06

—

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

1.45

—

Standard deviation, backtest period (backtest)

25.29%

—

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

22.63%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

169

—

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