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Compare investment strategies

Four-Index Scale-In with VIXY Hedge and BTAL vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

Every published figureShow 42 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, leveraged etfs, market neutral, momentum, tactical allocation, trend following, us equities, volatility hedge

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.26

—

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

1.26

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

44.93

—

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

27.74

—

Daily win rate, backtest period (backtest)

55.88%

—

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

54.45%

—

Backtest

Backtest final value (from $10,000)

$56.6M

—

Backtest regulatory fees

$88k

—

Backtest slippage cost

$815k

—

Returns

Backtest length

3,790

—

Out-of-sample length

551

—

Return, backtest period (annualized) (backtest)

77.61%

—

Return, backtest period (cumulative) (backtest)

566k%

—

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

51.78%

261.52%

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

149.44%

6.85%

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

0.61%

—

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

1.47%

1.95%

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

0.53%

—

Return, trailing 1 year (backtest)

12.92%

—

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

12.91%

0.00%

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

0.39%

—

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

1.39%

6.14%

SPY annualized return over the backtest window (backtest)

15.41%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.11

—

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

2.12

376.45

Maximum drawdown, backtest period (backtest)

-24.95%

—

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

-24.39%

-0.69%

Sharpe ratio, backtest period (backtest)

1.84

—

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

1.18

7.79

Sortino ratio, backtest period (backtest)

3.71

—

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

2.35

—

Standard deviation, backtest period (backtest)

34.28%

—

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

42.53%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.41

—

Construction

Logic complexity (node count)

220

—

Rebalance frequency

daily

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