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Bitcoin-Trend Risk Switch for Growth or Havens 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)

bonds, commodities, crypto-linked, gold, leveraged etfs, macro, momentum, regime-switching, stocks, tactical, trend-following, us dollar, volatility-hedged

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

Asset classes / instruments

equities

Market-relative

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

-0.00

—

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

1.02

—

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

0.51

—

Trading activity

Annualized turnover, backtest period (backtest)

36.75

—

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

40.16

—

Daily win rate, backtest period (backtest)

57.10%

—

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

52.73%

—

Backtest

Backtest final value (from $10,000)

$176.5M

—

Backtest regulatory fees

$426k

—

Backtest slippage cost

$4.0M

—

Returns

Backtest length

2,783

—

Out-of-sample length

605

—

Return, backtest period (annualized) (backtest)

142.33%

—

Return, backtest period (cumulative) (backtest)

1765k%

—

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

13.95%

3.45%

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

36.48%

0.13%

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

-0.98%

—

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

5.08%

0.00%

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

-1.24%

—

Return, trailing 1 year (backtest)

-0.68%

—

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

-0.65%

0.00%

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

-4.69%

—

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

16.63%

0.00%

SPY annualized return over the backtest window (backtest)

15.12%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.18

—

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

0.41

128.91

Maximum drawdown, backtest period (backtest)

-44.69%

—

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

-34.31%

-0.03%

Sharpe ratio, backtest period (backtest)

1.82

—

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

0.57

10.69

Sortino ratio, backtest period (backtest)

3.12

—

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

0.85

—

Standard deviation, backtest period (backtest)

57.51%

—

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

32.16%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

955

—

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