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Black Swan Catcher: T-Bills with Crash/Spike Trades vs 100% SGOV Treasury Bill Cash Holder

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)

crash protection, leveraged tech, mean reversion, tactical allocation, volatility timing

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.66

—

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

0.41

—

Trading activity

Annualized turnover, backtest period (backtest)

5.49

—

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

7.06

—

Daily win rate, backtest period (backtest)

51.68%

—

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

85.99%

—

Backtest

Backtest final value (from $10,000)

$616k

—

Backtest regulatory fees

$433

—

Backtest slippage cost

$3,618

—

Returns

Backtest length

3,721

—

Out-of-sample length

571

—

Return, backtest period (annualized) (backtest)

32.19%

—

Return, backtest period (cumulative) (backtest)

6064%

—

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

17.82%

3.61%

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

44.54%

0.76%

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

0.05%

—

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

0.30%

0.32%

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

0.07%

—

Return, trailing 1 year (backtest)

0.32%

—

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

0.38%

0.00%

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

0.15%

—

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

0.92%

0.00%

SPY annualized return over the backtest window (backtest)

14.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.05

—

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

2.63

45148.96

Maximum drawdown, backtest period (backtest)

-7.94%

—

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

-6.76%

-0.00%

Sharpe ratio, backtest period (backtest)

1.18

—

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

0.73

20.28

Sortino ratio, backtest period (backtest)

8.66

—

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

4.37

—

Standard deviation, backtest period (backtest)

26.10%

—

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

26.40%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

122

—

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