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Ease Up on the Gas: DBMF/TQQQ with VIX Swap vs Domestic Leveraged Sector Trend Rotation

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)

daily rebalance, dynamic vix hedge, leveraged nasdaq-100, managed futures, rsi-based

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.02

—

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

1.25

—

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

0.89

—

Trading activity

Annualized turnover, backtest period (backtest)

1.34

—

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

1.34

—

Daily win rate, backtest period (backtest)

57.45%

—

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

56.70%

—

Backtest

Backtest final value (from $10,000)

$57k

—

Backtest regulatory fees

$62

—

Backtest slippage cost

$127

—

Returns

Backtest length

1,866

—

Out-of-sample length

799

—

Return, backtest period (annualized) (backtest)

26.48%

—

Return, backtest period (cumulative) (backtest)

469.99%

—

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

27.24%

67.14%

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

114.85%

4.80%

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

0.90%

—

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

8.75%

4.80%

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

0.66%

—

Return, trailing 1 year (backtest)

33.81%

—

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

33.82%

0.00%

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

2.45%

—

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

8.69%

0.00%

SPY annualized return over the backtest window (backtest)

16.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.89

—

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

1.07

53.07

Maximum drawdown, backtest period (backtest)

-29.84%

—

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

-25.48%

-1.27%

Sharpe ratio, backtest period (backtest)

1.10

—

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

1.24

4.69

Sortino ratio, backtest period (backtest)

1.57

—

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

1.81

—

Standard deviation, backtest period (backtest)

23.96%

—

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

21.21%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.57

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

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