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Volatility-Aware Hedged Regime Switching with Treasuries 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/usd defensives, daily rebalance, inverse etfs, tactical etf rotation, trend + mean reversion, volatility hedge

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)

0.12

—

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

0.65

—

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

0.38

—

Trading activity

Annualized turnover, backtest period (backtest)

50.87

—

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

46.02

—

Daily win rate, backtest period (backtest)

51.93%

—

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

53.70%

—

Backtest

Backtest final value (from $10,000)

$12.5M

—

Backtest regulatory fees

$43k

—

Backtest slippage cost

$388k

—

Returns

Backtest length

3,765

—

Out-of-sample length

1,013

—

Return, backtest period (annualized) (backtest)

61.19%

—

Return, backtest period (cumulative) (backtest)

125k%

—

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

25.40%

67.14%

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

148.59%

4.80%

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

0.05%

—

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

-1.22%

4.80%

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

0.19%

—

Return, trailing 1 year (backtest)

-1.75%

—

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

-1.76%

0.00%

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

0.29%

—

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

-4.59%

0.00%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.25

—

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

0.93

53.07

Maximum drawdown, backtest period (backtest)

-27.21%

—

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

-27.22%

-1.27%

Sharpe ratio, backtest period (backtest)

1.64

—

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

0.99

4.69

Sortino ratio, backtest period (backtest)

3.26

—

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

1.47

—

Standard deviation, backtest period (backtest)

31.97%

—

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

26.43%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

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