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Compare investment strategies

Enigma Crash-Aware Rotation with Hedges and Leveraged Tech vs VIXM Volatility Scaling Hedge with SHV Cash

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)

leveraged etfs, macro signals, multi-asset, regime-switching, risk management, tactical allocation, trend & mean-reversion, volatility hedging

risk management, tactical allocation, treasuries, vix futures, volatility hedge

Asset classes / instruments

equities

Market-relative

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

0.19

—

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

0.09

—

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

0.07

—

Trading activity

Annualized turnover, backtest period (backtest)

57.13

—

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

62.99

—

Daily win rate, backtest period (backtest)

56.37%

—

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

54.88%

—

Backtest

Backtest final value (from $10,000)

$2.4M

—

Backtest regulatory fees

$13k

—

Backtest slippage cost

$99k

—

Returns

Backtest length

2,906

—

Out-of-sample length

738

—

Return, backtest period (annualized) (backtest)

60.86%

—

Return, backtest period (cumulative) (backtest)

24k%

—

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

21.55%

3.45%

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

77.25%

0.13%

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

-0.35%

—

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

-0.74%

0.00%

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

-0.07%

—

Return, trailing 1 year (backtest)

11.80%

—

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

11.79%

0.00%

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

0.21%

—

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

-1.11%

0.00%

SPY annualized return over the backtest window (backtest)

13.86%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.94

—

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

1.40

128.91

Maximum drawdown, backtest period (backtest)

-15.43%

—

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

-15.43%

-0.03%

Sharpe ratio, backtest period (backtest)

2.54

—

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

1.20

10.69

Sortino ratio, backtest period (backtest)

5.29

—

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

1.90

—

Standard deviation, backtest period (backtest)

19.46%

—

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

17.54%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

460

—

Rebalance corridor width

7.00%

10.00%

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