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Drawdown Duel ETF Rotation with VIX/KMLM Fallback vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

defensive stocks, drawdown rotation, leveraged etfs, managed futures, momentum/mean-reversion, regime switching, volatility hedging

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.06

—

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

1.37

—

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

0.45

—

Trading activity

Annualized turnover, backtest period (backtest)

66.19

—

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

68.74

—

Daily win rate, backtest period (backtest)

54.37%

—

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

53.35%

—

Backtest

Backtest final value (from $10,000)

$94k

—

Backtest regulatory fees

$336

—

Backtest slippage cost

$2,461

—

Returns

Backtest length

743

—

Out-of-sample length

358

—

Return, backtest period (annualized) (backtest)

113.36%

—

Return, backtest period (cumulative) (backtest)

836.90%

—

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

37.47%

3.62%

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

56.18%

2.81%

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

-3.57%

—

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

-0.13%

0.34%

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

-5.36%

—

Return, trailing 1 year (backtest)

-0.69%

—

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

8.00%

86.44%

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

-3.73%

—

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

3.48%

0.95%

SPY annualized return over the backtest window (backtest)

24.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.18

—

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

1.06

331.36

Maximum drawdown, backtest period (backtest)

-35.67%

—

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

-35.46%

-0.01%

Sharpe ratio, backtest period (backtest)

2.31

—

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

1.04

18.06

Sortino ratio, backtest period (backtest)

3.72

—

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

1.32

—

Standard deviation, backtest period (backtest)

35.69%

—

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

37.36%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

437

—

Rebalance corridor width

10.00%

9.00%

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