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Weekly Leveraged and Inverse ETF Flip, Bond-vs-Stock vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

inverse etfs, leveraged etfs, momentum, risk-on/risk-off, tactical rotation, trend-following

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.38

—

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

0.81

—

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

0.19

—

Trading activity

Annualized turnover, backtest period (backtest)

145.52

—

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

138.11

—

Daily win rate, backtest period (backtest)

55.36%

—

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

53.07%

—

Backtest

Backtest final value (from $10,000)

$5.1M

—

Backtest regulatory fees

$32k

—

Backtest slippage cost

$266k

—

Returns

Backtest length

1,091

—

Out-of-sample length

748

—

Return, backtest period (annualized) (backtest)

320.81%

—

Return, backtest period (cumulative) (backtest)

51k%

—

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

40.48%

76.55%

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

174.61%

3.91%

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

4.30%

—

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

26.79%

0.00%

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

7.82%

—

Return, trailing 1 year (backtest)

57.80%

—

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

57.68%

0.00%

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

12.77%

—

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

26.76%

0.00%

SPY annualized return over the backtest window (backtest)

17.54%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.47

—

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

0.69

180.23

Maximum drawdown, backtest period (backtest)

-58.69%

—

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

-58.70%

-0.42%

Sharpe ratio, backtest period (backtest)

2.41

—

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

0.84

9.00

Sortino ratio, backtest period (backtest)

4.05

—

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

1.25

—

Standard deviation, backtest period (backtest)

69.98%

—

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

66.29%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.88

—

Construction

Logic complexity (node count)

102

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

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