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Four-Check Trend Ensemble: 3x Stocks or Havens 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, momentum, risk-on/risk-off, tactical asset allocation, trend-following, 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)

0.01

—

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

0.83

—

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

0.69

—

Trading activity

Annualized turnover, backtest period (backtest)

38.64

—

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

42.17

—

Daily win rate, backtest period (backtest)

55.38%

—

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

56.41%

—

Backtest

Backtest final value (from $10,000)

$237k

—

Backtest regulatory fees

$1,077

—

Backtest slippage cost

$7,515

—

Returns

Backtest length

2,992

—

Out-of-sample length

686

—

Return, backtest period (annualized) (backtest)

30.56%

—

Return, backtest period (cumulative) (backtest)

2273%

—

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

17.88%

3.45%

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

55.97%

0.13%

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

-0.55%

—

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

5.44%

0.00%

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

-2.64%

—

Return, trailing 1 year (backtest)

17.29%

—

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

18.82%

0.00%

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

-3.18%

—

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

9.22%

0.00%

SPY annualized return over the backtest window (backtest)

13.56%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.92

—

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

0.78

128.91

Maximum drawdown, backtest period (backtest)

-33.22%

—

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

-22.82%

-0.03%

Sharpe ratio, backtest period (backtest)

1.42

—

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

0.97

10.69

Sortino ratio, backtest period (backtest)

2.10

—

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

1.27

—

Standard deviation, backtest period (backtest)

20.31%

—

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

18.85%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

180

—

Rebalance corridor width

—

10.00%

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