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Volatility Timing with Leveraged Tech and 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)

crash hedging, interest-rate driven, leveraged/inverse etfs, momentum, tactical multi-asset, 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)

0.04

—

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

0.82

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

27.84

—

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

28.53

—

Daily win rate, backtest period (backtest)

59.59%

—

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

57.18%

—

Backtest

Backtest final value (from $10,000)

$1.9M

—

Backtest regulatory fees

$5,007

—

Backtest slippage cost

$38k

—

Returns

Backtest length

3,200

—

Out-of-sample length

864

—

Return, backtest period (annualized) (backtest)

50.93%

—

Return, backtest period (cumulative) (backtest)

19k%

—

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

21.63%

67.14%

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

95.82%

4.80%

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

0.06%

—

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

3.88%

4.80%

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

0.95%

—

Return, trailing 1 year (backtest)

8.56%

—

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

8.56%

0.00%

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

0.87%

—

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

11.48%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.04

—

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

1.29

53.07

Maximum drawdown, backtest period (backtest)

-16.76%

—

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

-16.76%

-1.27%

Sharpe ratio, backtest period (backtest)

2.21

—

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

1.21

4.69

Sortino ratio, backtest period (backtest)

4.13

—

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

1.93

—

Standard deviation, backtest period (backtest)

19.47%

—

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

17.40%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

276

—

Rebalance corridor width

2.00%

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