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Compare investment strategies

Frontrunner XLI: Industrials Gauge, VIX Longs and 3x Dips vs 100% SGOV Treasury Bill Cash Holder

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 rebalanced, leveraged etfs, long volatility, mean reversion, risk-on/risk-off, sector signals, tactical

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.32

—

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

0.84

—

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

0.32

—

Trading activity

Annualized turnover, backtest period (backtest)

3.11

—

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

3.61

—

Daily win rate, backtest period (backtest)

76.14%

—

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

78.69%

—

Backtest

Backtest final value (from $10,000)

$31k

—

Backtest regulatory fees

—

Backtest slippage cost

$42

—

Returns

Backtest length

1,136

—

Out-of-sample length

488

—

Return, backtest period (annualized) (backtest)

28.89%

—

Return, backtest period (cumulative) (backtest)

214.25%

—

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

47.79%

3.61%

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

113.39%

0.76%

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

0.04%

—

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

0.34%

0.32%

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

0.09%

—

Return, trailing 1 year (backtest)

3.71%

—

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

3.71%

0.00%

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

0.17%

—

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

0.95%

0.00%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.23

—

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

8.66

45148.96

Maximum drawdown, backtest period (backtest)

-5.52%

—

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

-5.52%

-0.00%

Sharpe ratio, backtest period (backtest)

0.96

—

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

1.05

20.28

Sortino ratio, backtest period (backtest)

9.51

—

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

10.50

—

Standard deviation, backtest period (backtest)

30.19%

—

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

44.63%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

Rebalance frequency

daily

Popularity

Remixes (copies)

112

—

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