Side-by-side comparison

Compare investment strategies

20-Day BND/SPHB RSI Switch Between SOXL and Cash vs VIXM Volatility Scaling Hedge with SHV Cash

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 etf, regime switching, risk management, rsi timing, semiconductors, tactical, volatility filter

risk management, tactical allocation, treasuries, vix futures, volatility hedge

Asset classes / instruments

equities

Market-relative

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

0.33

—

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

3.73

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

32.13

—

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

26.49

—

Daily win rate, backtest period (backtest)

51.95%

—

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

72.49%

—

Backtest

Backtest final value (from $10,000)

$691.0M

—

Backtest regulatory fees

$465k

—

Backtest slippage cost

$4.5M

—

Returns

Backtest length

3,765

—

Out-of-sample length

647

—

Return, backtest period (annualized) (backtest)

110.78%

—

Return, backtest period (cumulative) (backtest)

6910k%

—

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

95.92%

3.45%

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

463.70%

0.13%

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

0.04%

—

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

0.30%

0.00%

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

0.09%

—

Return, trailing 1 year (backtest)

358.75%

—

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

358.72%

0.00%

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

0.18%

—

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

31.39%

0.00%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.48

—

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

1.28

128.91

Maximum drawdown, backtest period (backtest)

-74.87%

—

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

-74.88%

-0.03%

Sharpe ratio, backtest period (backtest)

1.48

—

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

1.21

10.69

Sortino ratio, backtest period (backtest)

2.38

—

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

1.90

—

Standard deviation, backtest period (backtest)

63.83%

—

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

83.96%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

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