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Compare investment strategies

Two-Sleeve Leveraged Tech Swing and Long-Term Rotation 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, macro regime, mean reversion, tactical allocation, trend following, volatility hedge

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)

-0.04

—

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

1.18

—

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

0.59

—

Trading activity

Annualized turnover, backtest period (backtest)

14.88

—

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

14.17

—

Daily win rate, backtest period (backtest)

56.32%

—

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

53.93%

—

Backtest

Backtest final value (from $10,000)

$2.4M

—

Backtest regulatory fees

$3,766

—

Backtest slippage cost

$30k

—

Returns

Backtest length

3,100

—

Out-of-sample length

877

—

Return, backtest period (annualized) (backtest)

56.25%

—

Return, backtest period (cumulative) (backtest)

24k%

—

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

18.36%

261.52%

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

79.92%

6.85%

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

0.41%

—

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

4.36%

1.95%

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

0.01%

—

Return, trailing 1 year (backtest)

11.07%

—

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

11.07%

0.00%

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

1.21%

—

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

4.93%

6.14%

SPY annualized return over the backtest window (backtest)

13.89%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.63

—

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

0.53

376.45

Maximum drawdown, backtest period (backtest)

-34.53%

—

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

-34.53%

-0.69%

Sharpe ratio, backtest period (backtest)

1.89

—

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

0.71

7.79

Sortino ratio, backtest period (backtest)

3.65

—

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

1.29

—

Standard deviation, backtest period (backtest)

25.21%

—

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

29.67%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

851

—

Rebalance corridor width

5.00%

—

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