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Defensive T-Bills with VIX Hedge and 3x Deep Dip Buys vs D-Fence Trend Switch: SPY or T-Bills with Hedges

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

daily rebalance, defensive, leveraged etfs, rsi-based, t-bills/cash, tactical allocation, tech/growth tilt, volatility hedge

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

Asset classes / instruments

equities

Market-relative

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

0.18

—

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

0.96

—

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

0.46

—

Trading activity

Annualized turnover, backtest period (backtest)

32.86

—

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

33.80

—

Daily win rate, backtest period (backtest)

45.95%

—

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

73.91%

—

Backtest

Backtest final value (from $10,000)

$3.3M

—

Backtest regulatory fees

$7,532

—

Backtest slippage cost

$61k

—

Returns

Backtest length

3,765

—

Out-of-sample length

686

—

Return, backtest period (annualized) (backtest)

47.28%

—

Return, backtest period (cumulative) (backtest)

32k%

—

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

39.28%

40.01%

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

146.75%

2.98%

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

0.04%

—

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

0.36%

2.98%

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

0.11%

—

Return, trailing 1 year (backtest)

37.70%

—

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

37.69%

0.00%

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

0.19%

—

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

17.27%

2.82%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.01

—

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

1.67

28.47

Maximum drawdown, backtest period (backtest)

-23.50%

—

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

-23.50%

-1.41%

Sharpe ratio, backtest period (backtest)

1.45

—

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

1.17

3.57

Sortino ratio, backtest period (backtest)

4.21

—

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

2.74

—

Standard deviation, backtest period (backtest)

29.31%

—

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

32.22%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

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