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YINN/YANG China 3x Switch Using FXI vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

china, daily rebalance, leveraged etfs, long/short, mean reversion, momentum, tactical

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.78

—

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

1.06

—

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

0.23

—

Trading activity

Annualized turnover, backtest period (backtest)

40.07

—

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

35.93

—

Daily win rate, backtest period (backtest)

53.01%

—

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

54.26%

—

Backtest

Backtest final value (from $10,000)

$3.2B

—

Backtest regulatory fees

$3.7M

—

Backtest slippage cost

$35.4M

—

Returns

Backtest length

4,050

—

Out-of-sample length

505

—

Return, backtest period (annualized) (backtest)

119.91%

—

Return, backtest period (cumulative) (backtest)

31747k%

—

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

98.04%

261.52%

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

294.31%

6.85%

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

-0.01%

—

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

11.23%

1.95%

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

-2.17%

—

Return, trailing 1 year (backtest)

73.55%

—

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

73.51%

0.00%

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

4.58%

—

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

10.20%

6.14%

SPY annualized return over the backtest window (backtest)

15.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.49

—

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

1.71

376.45

Maximum drawdown, backtest period (backtest)

-80.62%

—

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

-57.17%

-0.69%

Sharpe ratio, backtest period (backtest)

1.43

—

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

1.27

7.79

Sortino ratio, backtest period (backtest)

2.31

—

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

1.98

—

Standard deviation, backtest period (backtest)

73.44%

—

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

76.98%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.96

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

106

—

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