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Top-5 Leveraged Sorter with Nasdaq Long-Short and VIXY 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)

daily rebalance, leveraged etfs, nasdaq/tech focus, risk-on/off switching, tactical allocation, trend + mean reversion

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)

-0.14

—

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

2.55

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

34.21

—

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

42.73

—

Daily win rate, backtest period (backtest)

55.57%

—

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

53.50%

—

Backtest

Backtest final value (from $10,000)

$1.3B

—

Backtest regulatory fees

$2.5M

—

Backtest slippage cost

$23.8M

—

Returns

Backtest length

3,970

—

Out-of-sample length

572

—

Return, backtest period (annualized) (backtest)

110.72%

—

Return, backtest period (cumulative) (backtest)

12616k%

—

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

23.14%

3.62%

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

59.74%

2.81%

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

-7.62%

—

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

3.56%

0.34%

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

-8.77%

—

Return, trailing 1 year (backtest)

23.57%

—

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

27.86%

86.44%

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

-11.31%

—

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

7.21%

0.95%

SPY annualized return over the backtest window (backtest)

14.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.27

—

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

0.48

331.36

Maximum drawdown, backtest period (backtest)

-48.83%

—

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

-48.01%

-0.01%

Sharpe ratio, backtest period (backtest)

1.73

—

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

0.65

18.06

Sortino ratio, backtest period (backtest)

2.82

—

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

0.80

—

Standard deviation, backtest period (backtest)

50.41%

—

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

54.79%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.84

—

Construction

Logic complexity (node count)

131

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

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