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Treasury Overlay with Leveraged Tech and Short Volatility vs Domestic Leveraged Sector Trend 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 & inverse etfs, multi-asset tactical, regime switching, treasury overlay, trend + mean reversion, volatility carry

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

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)

0.98

—

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

0.63

—

Trading activity

Annualized turnover, backtest period (backtest)

42.28

—

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

43.50

—

Daily win rate, backtest period (backtest)

59.61%

—

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

54.90%

—

Backtest

Backtest final value (from $10,000)

$67.0M

—

Backtest regulatory fees

$155k

—

Backtest slippage cost

$1.4M

—

Returns

Backtest length

3,711

—

Out-of-sample length

674

—

Return, backtest period (annualized) (backtest)

81.87%

—

Return, backtest period (cumulative) (backtest)

670k%

—

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

28.31%

67.14%

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

94.99%

4.80%

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

0.36%

—

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

2.68%

4.80%

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

0.18%

—

Return, trailing 1 year (backtest)

50.36%

—

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

50.33%

0.00%

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

-2.00%

—

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

10.07%

0.00%

SPY annualized return over the backtest window (backtest)

15.01%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.58

—

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

1.24

53.07

Maximum drawdown, backtest period (backtest)

-22.85%

—

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

-22.86%

-1.27%

Sharpe ratio, backtest period (backtest)

2.54

—

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

1.15

4.69

Sortino ratio, backtest period (backtest)

4.72

—

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

2.05

—

Standard deviation, backtest period (backtest)

24.74%

—

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

24.07%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.25

—

Construction

Logic complexity (node count)

234

—

Rebalance corridor width

2.00%

1.00%

Rebalance frequency

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