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Trend, Heat and Fear Checks: Tech or Havens 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)

bonds, emerging markets, gold, hedging, leveraged etfs, managed futures, rule-based, trend-following, volatility-timing

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)

0.24

—

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

1.14

—

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

0.30

—

Trading activity

Annualized turnover, backtest period (backtest)

100.23

—

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

92.11

—

Daily win rate, backtest period (backtest)

58.16%

—

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

53.91%

—

Backtest

Backtest final value (from $10,000)

$31.1M

—

Backtest regulatory fees

$91k

—

Backtest slippage cost

$830k

—

Returns

Backtest length

1,465

—

Out-of-sample length

230

—

Return, backtest period (annualized) (backtest)

298.43%

—

Return, backtest period (cumulative) (backtest)

311k%

—

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

58.15%

67.14%

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

50.57%

4.80%

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

-6.80%

—

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

15.95%

4.80%

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

-12.38%

—

Return, trailing 1 year (backtest)

49.50%

—

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

0.00%

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

-12.33%

—

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

17.49%

0.00%

SPY annualized return over the backtest window (backtest)

14.91%

—

Risk metrics

Calmar ratio, backtest period (backtest)

15.33

—

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

2.73

53.07

Maximum drawdown, backtest period (backtest)

-19.46%

—

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

-21.31%

-1.27%

Sharpe ratio, backtest period (backtest)

3.47

—

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

1.21

4.69

Sortino ratio, backtest period (backtest)

6.98

—

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

1.42

—

Standard deviation, backtest period (backtest)

42.48%

—

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

47.34%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

4,639

—

Rebalance corridor width

3.00%

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