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Weekly Commodities and Bonds with Leveraged Risk Parity 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)

commodities tilt, leveraged etfs, risk parity, risk-on/risk-off, tactical asset allocation, trend following, weekly rebalance

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)

0.29

—

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

1.68

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

22.20

—

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

23.62

—

Daily win rate, backtest period (backtest)

56.39%

—

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

56.62%

—

Backtest

Backtest final value (from $10,000)

$170k

—

Backtest regulatory fees

$207

—

Backtest slippage cost

$1,518

—

Returns

Backtest length

1,699

—

Out-of-sample length

853

—

Return, backtest period (annualized) (backtest)

52.16%

—

Return, backtest period (cumulative) (backtest)

1597%

—

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

76.75%

67.14%

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

589.11%

4.80%

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

0.11%

—

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

-0.04%

4.80%

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

1.11%

—

Return, trailing 1 year (backtest)

43.74%

—

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

43.74%

0.00%

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

0.69%

—

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

4.25%

0.00%

SPY annualized return over the backtest window (backtest)

15.51%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.78

—

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

2.17

53.07

Maximum drawdown, backtest period (backtest)

-66.46%

—

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

-35.45%

-1.27%

Sharpe ratio, backtest period (backtest)

1.09

—

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

1.59

4.69

Sortino ratio, backtest period (backtest)

1.61

—

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

2.58

—

Standard deviation, backtest period (backtest)

50.58%

—

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

41.16%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.58

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

Rebalance frequency

weekly

none

Popularity

Remixes (copies)

170

—

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