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Compare investment strategies

Corporate Bonds vs Oil Signal for QQQ or Oil/KMLM 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)

commodities, cross-asset signal, daily rebalance, managed futures, momentum, regime switching, tech tilt

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

Asset classes / instruments

equities

Market-relative

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

0.42

—

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

-0.04

—

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

-0.02

—

Trading activity

Annualized turnover, backtest period (backtest)

35.00

—

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

36.22

—

Daily win rate, backtest period (backtest)

56.50%

—

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

53.89%

—

Backtest

Backtest final value (from $10,000)

$63k

—

Backtest regulatory fees

$166

—

Backtest slippage cost

$1,237

—

Returns

Backtest length

1,469

—

Out-of-sample length

334

—

Return, backtest period (annualized) (backtest)

37.04%

—

Return, backtest period (cumulative) (backtest)

528.41%

—

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

45.22%

3.45%

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

64.21%

0.13%

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

-0.28%

—

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

-2.75%

0.00%

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

0.21%

—

Return, trailing 1 year (backtest)

50.99%

—

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

51.00%

0.00%

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

0.21%

—

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

9.09%

0.00%

SPY annualized return over the backtest window (backtest)

15.36%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.91

—

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

3.60

128.91

Maximum drawdown, backtest period (backtest)

-19.36%

—

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

-12.58%

-0.03%

Sharpe ratio, backtest period (backtest)

1.52

—

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

1.60

10.69

Sortino ratio, backtest period (backtest)

2.26

—

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

2.45

—

Standard deviation, backtest period (backtest)

22.49%

—

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

25.45%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.76

—

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