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Zero Beta Cashen Offense/Defense with 3x Tech 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, daily rebalance, leveraged etfs, tactical allocation, tech/semis tilt, treasury timing, trend-following, volatility hedge

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)

1.55

—

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

0.65

—

Trading activity

Annualized turnover, backtest period (backtest)

32.64

—

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

27.22

—

Daily win rate, backtest period (backtest)

56.99%

—

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

55.02%

—

Backtest

Backtest final value (from $10,000)

$267.0M

—

Backtest regulatory fees

$491k

—

Backtest slippage cost

$4.7M

—

Returns

Backtest length

3,762

—

Out-of-sample length

827

—

Return, backtest period (annualized) (backtest)

97.89%

—

Return, backtest period (cumulative) (backtest)

2670k%

—

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

34.28%

67.14%

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

163.40%

4.80%

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

0.59%

—

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

6.73%

4.80%

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

0.28%

—

Return, trailing 1 year (backtest)

0.80%

—

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

0.78%

0.00%

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

1.21%

—

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

3.42%

0.00%

SPY annualized return over the backtest window (backtest)

15.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.66

—

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

0.93

53.07

Maximum drawdown, backtest period (backtest)

-36.87%

—

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

-36.87%

-1.27%

Sharpe ratio, backtest period (backtest)

2.10

—

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

0.99

4.69

Sortino ratio, backtest period (backtest)

4.25

—

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

1.86

—

Standard deviation, backtest period (backtest)

35.31%

—

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

35.71%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.53

—

Construction

Logic complexity (node count)

1,651

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

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