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Dragon-Style Bull Leaning with VIX Hedge and Shorts vs Defensive Sector/Bond Switch with SPY-QQQ Offense

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)

defensive rotation, leveraged etfs, long-volatility hedge, macro rotation, multi-asset, risk-parity, tactical allocation, trend-following

bonds/cash, defensive sectors, leverage overlay, managed futures, risk-on/risk-off, tactical allocation, trend-following

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)

0.69

—

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

0.73

—

Trading activity

Annualized turnover, backtest period (backtest)

25.26

—

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

27.25

—

Daily win rate, backtest period (backtest)

59.50%

—

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

58.40%

—

Backtest

Backtest final value (from $10,000)

$638k

—

Backtest regulatory fees

$1,758

—

Backtest slippage cost

$13k

—

Returns

Backtest length

3,200

—

Out-of-sample length

827

—

Return, backtest period (annualized) (backtest)

38.70%

—

Return, backtest period (cumulative) (backtest)

6276%

—

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

23.82%

11.23%

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

101.80%

0.81%

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

0.38%

—

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

1.66%

0.00%

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

1.01%

—

Return, trailing 1 year (backtest)

9.87%

—

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

9.87%

0.00%

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

0.84%

—

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

4.54%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.95

—

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

1.82

14.66

Maximum drawdown, backtest period (backtest)

-13.12%

—

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

-13.12%

-0.77%

Sharpe ratio, backtest period (backtest)

2.47

—

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

1.59

3.90

Sortino ratio, backtest period (backtest)

3.98

—

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

2.38

—

Standard deviation, backtest period (backtest)

13.64%

—

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

14.09%

2.89%

Quality

Community review status

ACTIVE

—

Holdings

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

0.14

—

Construction

Logic complexity (node count)

394

—

Rebalance frequency

daily

Popularity

Remixes (copies)

101

—

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