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All-Star Sorts 3x Tech/Semis with Macro Filters 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)

daily rebalance, leveraged etfs, macro filters, regime switching, tech/semis focus, trend + mean reversion, volatility hedging

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

Asset classes / instruments

equities

Market-relative

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

0.16

—

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

0.91

—

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

0.28

—

Trading activity

Annualized turnover, backtest period (backtest)

107.91

—

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

99.21

—

Daily win rate, backtest period (backtest)

56.66%

—

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

49.35%

—

Backtest

Backtest final value (from $10,000)

$6.6M

—

Backtest regulatory fees

$44k

—

Backtest slippage cost

$373k

—

Returns

Backtest length

1,149

—

Out-of-sample length

616

—

Return, backtest period (annualized) (backtest)

314.23%

—

Return, backtest period (cumulative) (backtest)

65k%

—

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

23.68%

3.45%

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

68.26%

0.13%

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

1.51%

—

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

-4.32%

0.00%

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

8.39%

—

Return, trailing 1 year (backtest)

-0.32%

—

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

-0.35%

0.00%

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

5.56%

—

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

5.24%

0.00%

SPY annualized return over the backtest window (backtest)

16.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.12

—

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

0.54

128.91

Maximum drawdown, backtest period (backtest)

-44.12%

—

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

-44.13%

-0.03%

Sharpe ratio, backtest period (backtest)

3.00

—

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

0.66

10.69

Sortino ratio, backtest period (backtest)

5.93

—

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

1.11

—

Standard deviation, backtest period (backtest)

51.93%

—

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

51.81%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.31

—

Construction

Logic complexity (node count)

5,902

—

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