Side-by-side comparison

Compare investment strategies

UPRO Long-Term: 3x S&P Trend, VIX Flip, SPXU/TLT Defense 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)

daily rebalance, leveraged etfs, mean reversion, tactical allocation, treasuries, trend following, us equities, volatility

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)

0.10

—

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

2.20

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

21.36

—

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

15.54

—

Daily win rate, backtest period (backtest)

55.66%

—

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

53.37%

—

Backtest

Backtest final value (from $10,000)

$2.0B

—

Backtest regulatory fees

$1.6M

—

Backtest slippage cost

$15.6M

—

Returns

Backtest length

3,775

—

Out-of-sample length

519

—

Return, backtest period (annualized) (backtest)

125.47%

—

Return, backtest period (cumulative) (backtest)

19536k%

—

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

46.68%

261.52%

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

120.44%

6.85%

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

1.69%

—

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

5.98%

1.95%

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

3.21%

—

Return, trailing 1 year (backtest)

31.82%

—

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

31.81%

0.00%

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

2.31%

—

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

8.04%

6.14%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.76

—

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

1.07

376.45

Maximum drawdown, backtest period (backtest)

-45.41%

—

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

-43.46%

-0.69%

Sharpe ratio, backtest period (backtest)

1.80

—

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

1.02

7.79

Sortino ratio, backtest period (backtest)

3.10

—

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

1.64

—

Standard deviation, backtest period (backtest)

52.76%

—

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

49.14%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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