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TQQQ Trend Sorter with Treasury and VIX Defense 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)

leveraged etfs, market timing, systematic, tactical allocation, trend-following, volatility hedging

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)

0.08

—

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

1.47

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

63.81

—

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

66.97

—

Daily win rate, backtest period (backtest)

58.90%

—

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

54.46%

—

Backtest

Backtest final value (from $10,000)

$46.1M

—

Backtest regulatory fees

$145k

—

Backtest slippage cost

$1.3M

—

Returns

Backtest length

2,073

—

Out-of-sample length

549

—

Return, backtest period (annualized) (backtest)

178.70%

—

Return, backtest period (cumulative) (backtest)

461k%

—

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

34.96%

261.52%

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

92.40%

6.85%

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

0.18%

—

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

-0.75%

1.95%

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

1.41%

—

Return, trailing 1 year (backtest)

31.32%

—

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

31.29%

0.00%

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

-0.12%

—

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

-2.64%

6.14%

SPY annualized return over the backtest window (backtest)

15.11%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.00

—

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

0.98

376.45

Maximum drawdown, backtest period (backtest)

-35.72%

—

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

-35.72%

-0.69%

Sharpe ratio, backtest period (backtest)

3.01

—

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

1.05

7.79

Sortino ratio, backtest period (backtest)

5.80

—

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

1.70

—

Standard deviation, backtest period (backtest)

36.19%

—

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

34.08%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.32

—

Construction

Logic complexity (node count)

3,117

—

Rebalance corridor width

2.00%

—

Rebalance frequency

none

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