Side-by-side comparison

Compare investment strategies

Commodities/Bonds Macro Rotation with QQQ Treasury Switch 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)

cross-asset, etf rotation, global macro, momentum + mean reversion, risk-managed, tactical asset allocation

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

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.64

—

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

0.76

—

Trading activity

Annualized turnover, backtest period (backtest)

27.57

—

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

28.15

—

Daily win rate, backtest period (backtest)

56.21%

—

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

58.43%

—

Backtest

Backtest final value (from $10,000)

$276k

—

Backtest regulatory fees

$943

—

Backtest slippage cost

$7,100

—

Returns

Backtest length

4,300

—

Out-of-sample length

777

—

Return, backtest period (annualized) (backtest)

21.46%

—

Return, backtest period (cumulative) (backtest)

2659%

—

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

22.85%

3.45%

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

88.76%

0.13%

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

1.03%

—

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

2.48%

0.00%

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

0.69%

—

Return, trailing 1 year (backtest)

24.62%

—

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

24.62%

0.00%

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

0.09%

—

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

6.65%

0.00%

SPY annualized return over the backtest window (backtest)

14.77%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.41

—

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

1.88

128.91

Maximum drawdown, backtest period (backtest)

-15.24%

—

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

-12.18%

-0.03%

Sharpe ratio, backtest period (backtest)

1.60

—

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

1.69

10.69

Sortino ratio, backtest period (backtest)

2.39

—

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

2.50

—

Standard deviation, backtest period (backtest)

12.64%

—

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

12.69%

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)

—

Rebalance corridor width

1.00%

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