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TQQQ Trend with VXX and SQQQ Risk Controls 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, nasdaq-100 focus, 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)

0.05

—

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

1.66

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

23.41

—

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

19.87

—

Daily win rate, backtest period (backtest)

57.41%

—

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

55.75%

—

Backtest

Backtest final value (from $10,000)

$18.0M

—

Backtest regulatory fees

$18k

—

Backtest slippage cost

$165k

—

Returns

Backtest length

2,193

—

Out-of-sample length

583

—

Return, backtest period (annualized) (backtest)

136.47%

—

Return, backtest period (cumulative) (backtest)

179k%

—

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

31.40%

261.52%

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

88.30%

6.85%

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

0.91%

—

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

9.21%

1.95%

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

0.26%

—

Return, trailing 1 year (backtest)

13.41%

—

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

13.40%

0.00%

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

1.49%

—

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

6.97%

6.14%

SPY annualized return over the backtest window (backtest)

14.23%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.52

—

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

0.85

376.45

Maximum drawdown, backtest period (backtest)

-38.75%

—

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

-37.07%

-0.69%

Sharpe ratio, backtest period (backtest)

2.04

—

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

0.88

7.79

Sortino ratio, backtest period (backtest)

3.59

—

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

1.30

—

Standard deviation, backtest period (backtest)

47.74%

—

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

40.13%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.60

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

8.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

348

—

Watchers

124

—

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