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WTMF-Gauged 3x Dip Buying with Short 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)

leveraged etfs, managed-futures vol proxy, mean-reversion, risk-on/risk-off, rsi, treasuries, us equities, volatility filter

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)

-0.16

—

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

2.79

—

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

0.87

—

Trading activity

Annualized turnover, backtest period (backtest)

39.19

—

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

35.42

—

Daily win rate, backtest period (backtest)

51.83%

—

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

55.54%

—

Backtest

Backtest final value (from $10,000)

$5.9M

—

Backtest regulatory fees

$14k

—

Backtest slippage cost

$116k

—

Returns

Backtest length

3,942

—

Out-of-sample length

605

—

Return, backtest period (annualized) (backtest)

50.33%

—

Return, backtest period (cumulative) (backtest)

59k%

—

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

27.51%

67.14%

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

79.39%

4.80%

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

0.05%

—

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

-1.82%

4.80%

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

0.19%

—

Return, trailing 1 year (backtest)

8.32%

—

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

8.32%

0.00%

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

0.29%

—

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

-8.00%

0.00%

SPY annualized return over the backtest window (backtest)

14.05%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.66

—

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

0.50

53.07

Maximum drawdown, backtest period (backtest)

-76.82%

—

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

-55.50%

-1.27%

Sharpe ratio, backtest period (backtest)

1.09

—

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

0.73

4.69

Sortino ratio, backtest period (backtest)

1.60

—

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

1.05

—

Standard deviation, backtest period (backtest)

48.15%

—

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

51.05%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.99

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

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