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Bond-Signal Nasdaq Long/Short with Anti-Beta Fallback 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)

defensive staples, leveraged & inverse etfs, market-neutral, nasdaq/tech tilt, risk-on/risk-off, tactical rotation, trend-following

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

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.56

—

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

0.35

—

Trading activity

Annualized turnover, backtest period (backtest)

23.57

—

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

35.05

—

Daily win rate, backtest period (backtest)

56.22%

—

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

53.38%

—

Backtest

Backtest final value (from $10,000)

$5.5M

—

Backtest regulatory fees

$12k

—

Backtest slippage cost

$105k

—

Returns

Backtest length

3,796

—

Out-of-sample length

532

—

Return, backtest period (annualized) (backtest)

51.92%

—

Return, backtest period (cumulative) (backtest)

54k%

—

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

15.94%

3.45%

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

36.26%

0.13%

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

1.08%

—

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

0.41%

0.00%

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

3.32%

—

Return, trailing 1 year (backtest)

5.65%

—

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

1.21%

0.00%

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

7.61%

—

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

3.25%

0.00%

SPY annualized return over the backtest window (backtest)

15.26%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.83

—

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

0.97

128.91

Maximum drawdown, backtest period (backtest)

-18.33%

—

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

-16.45%

-0.03%

Sharpe ratio, backtest period (backtest)

1.65

—

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

0.70

10.69

Sortino ratio, backtest period (backtest)

3.10

—

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

1.20

—

Standard deviation, backtest period (backtest)

27.64%

—

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

26.20%

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

5.00%

10.00%

Rebalance frequency

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