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Emerging Markets 3x EDC/EDZ with Volatility Kill-Switch vs Rising Rates Volatility Switch Risk-Parity Mix

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)

emerging markets, inflation regime, leveraged etfs, long/short, momentum/rsi, tactical allocation, trend filters, volatility filter

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.66

—

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

-0.37

—

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

-0.10

—

Trading activity

Annualized turnover, backtest period (backtest)

46.07

—

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

50.21

—

Daily win rate, backtest period (backtest)

53.62%

—

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

53.07%

—

Backtest

Backtest final value (from $10,000)

$1.3B

—

Backtest regulatory fees

$2.7M

—

Backtest slippage cost

$25.6M

—

Returns

Backtest length

3,657

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

124.96%

—

Return, backtest period (cumulative) (backtest)

12912k%

—

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

48.87%

3.62%

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

133.84%

2.81%

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

3.08%

—

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

8.52%

0.34%

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

-1.76%

—

Return, trailing 1 year (backtest)

45.58%

—

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

45.54%

6.30%

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

7.52%

—

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

36.29%

0.95%

SPY annualized return over the backtest window (backtest)

14.53%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.00

—

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

0.78

331.36

Maximum drawdown, backtest period (backtest)

-62.35%

—

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

-62.35%

-0.01%

Sharpe ratio, backtest period (backtest)

1.76

—

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

0.95

18.06

Sortino ratio, backtest period (backtest)

2.77

—

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

1.43

—

Standard deviation, backtest period (backtest)

54.71%

—

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

61.99%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

115

—

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