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Canary Signals: TQQQ, TMF and Volatility Hedges 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)

leveraged, mean-reversion, momentum, multi-asset, risk-managed, tactical, volatility-aware

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

Asset classes / instruments

equities

Market-relative

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

0.14

—

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

0.84

—

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

0.42

—

Trading activity

Annualized turnover, backtest period (backtest)

31.19

—

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

43.29

—

Daily win rate, backtest period (backtest)

56.05%

—

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

53.08%

—

Backtest

Backtest final value (from $10,000)

$73.9M

—

Backtest regulatory fees

$200k

—

Backtest slippage cost

$1.9M

—

Returns

Backtest length

3,775

—

Out-of-sample length

876

—

Return, backtest period (annualized) (backtest)

81.22%

—

Return, backtest period (cumulative) (backtest)

739k%

—

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

30.54%

3.45%

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

152.84%

0.13%

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

0.06%

—

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

-1.51%

0.00%

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

2.73%

—

Return, trailing 1 year (backtest)

18.29%

—

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

18.26%

0.00%

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

1.03%

—

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

6.83%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.35

—

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

0.88

128.91

Maximum drawdown, backtest period (backtest)

-34.62%

—

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

-34.62%

-0.03%

Sharpe ratio, backtest period (backtest)

1.92

—

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

1.04

10.69

Sortino ratio, backtest period (backtest)

3.31

—

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

1.57

—

Standard deviation, backtest period (backtest)

33.88%

—

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

29.91%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

2.00%

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