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TQQQ Trend with VIX Crash Plan and Short Treasuries 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)

leveraged etfs, mean reversion, risk-on/risk-off, tactical asset allocation, trend following, volatility regime switching

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)

-0.07

—

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

2.33

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

44.05

—

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

45.35

—

Daily win rate, backtest period (backtest)

52.74%

—

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

56.54%

—

Backtest

Backtest final value (from $10,000)

$116.6M

—

Backtest regulatory fees

$292k

—

Backtest slippage cost

$2.8M

—

Returns

Backtest length

3,775

—

Out-of-sample length

619

—

Return, backtest period (annualized) (backtest)

86.81%

—

Return, backtest period (cumulative) (backtest)

1166k%

—

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

31.04%

261.52%

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

94.47%

6.85%

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

1.18%

—

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

12.42%

1.95%

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

0.33%

—

Return, trailing 1 year (backtest)

18.67%

—

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

18.65%

0.00%

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

1.95%

—

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

12.73%

6.14%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.81

—

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

0.65

376.45

Maximum drawdown, backtest period (backtest)

-48.05%

—

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

-48.06%

-0.69%

Sharpe ratio, backtest period (backtest)

1.52

—

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

0.78

7.79

Sortino ratio, backtest period (backtest)

2.60

—

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

1.15

—

Standard deviation, backtest period (backtest)

48.80%

—

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

52.26%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.86

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

1,620

—

Watchers

330

—

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