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UVXY Momentum Entry with T-Bill Default 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)

cash/t-bills, daily rebalancing, momentum, risk-on/risk-off, tactical allocation, vix/uvxy, volatility

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)

0.27

—

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

-0.38

—

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

-0.24

—

Trading activity

Annualized turnover, backtest period (backtest)

2.14

—

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

1.83

—

Daily win rate, backtest period (backtest)

46.57%

—

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

78.04%

—

Backtest

Backtest final value (from $10,000)

$138k

—

Backtest regulatory fees

$26

—

Backtest slippage cost

$223

—

Returns

Backtest length

3,760

—

Out-of-sample length

551

—

Return, backtest period (annualized) (backtest)

19.23%

—

Return, backtest period (cumulative) (backtest)

1281%

—

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

17.99%

67.14%

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

43.11%

4.80%

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

0.03%

—

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

0.34%

4.80%

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

0.08%

—

Return, trailing 1 year (backtest)

-11.90%

—

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

-11.85%

0.00%

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

0.14%

—

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

0.95%

0.00%

SPY annualized return over the backtest window (backtest)

14.98%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.72

—

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

1.20

53.07

Maximum drawdown, backtest period (backtest)

-26.56%

—

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

-14.98%

-1.27%

Sharpe ratio, backtest period (backtest)

0.69

—

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

0.76

4.69

Sortino ratio, backtest period (backtest)

2.53

—

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

1.92

—

Standard deviation, backtest period (backtest)

31.50%

—

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

25.93%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

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