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Cactus: TQQQ or T-Bills on Cross-Asset Risk Appetite 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)

cash/t-bills, daily rebalance, leveraged nasdaq, momentum, risk-on/risk-off, tactical allocation, 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)

0.01

—

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

2.18

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

34.19

—

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

36.27

—

Daily win rate, backtest period (backtest)

54.32%

—

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

56.81%

—

Backtest

Backtest final value (from $10,000)

$21.2M

—

Backtest regulatory fees

$42k

—

Backtest slippage cost

$364k

—

Returns

Backtest length

3,943

—

Out-of-sample length

653

—

Return, backtest period (annualized) (backtest)

63.14%

—

Return, backtest period (cumulative) (backtest)

212k%

—

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

36.49%

3.45%

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

124.20%

0.13%

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

1.31%

—

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

11.63%

0.00%

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

0.33%

—

Return, trailing 1 year (backtest)

32.01%

—

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

32.00%

0.00%

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

0.66%

—

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

5.08%

0.00%

SPY annualized return over the backtest window (backtest)

14.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.42

—

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

0.82

128.91

Maximum drawdown, backtest period (backtest)

-44.43%

—

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

-44.43%

-0.03%

Sharpe ratio, backtest period (backtest)

1.35

—

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

0.92

10.69

Sortino ratio, backtest period (backtest)

2.01

—

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

1.29

—

Standard deviation, backtest period (backtest)

43.23%

—

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

44.96%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.83

—

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