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GE, Lilly and Nvidia Basket with VIX Overheat 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)

daily-rebalance, inverse-etf, market-timing, momentum-contrarian, single-stocks, volatility-hedge

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)

0.16

—

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

0.31

—

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

0.32

—

Trading activity

Annualized turnover, backtest period (backtest)

18.02

—

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

18.98

—

Daily win rate, backtest period (backtest)

53.22%

—

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

53.23%

—

Backtest

Backtest final value (from $10,000)

$370k

—

Backtest regulatory fees

$847

—

Backtest slippage cost

$5,145

—

Returns

Backtest length

3,970

—

Out-of-sample length

620

—

Return, backtest period (annualized) (backtest)

25.74%

—

Return, backtest period (cumulative) (backtest)

3596%

—

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

22.22%

3.62%

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

63.19%

2.81%

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

0.89%

—

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

-1.51%

0.34%

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

2.07%

—

Return, trailing 1 year (backtest)

13.25%

—

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

10.10%

6.30%

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

2.64%

—

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

-3.25%

0.95%

SPY annualized return over the backtest window (backtest)

14.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.26

—

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

1.93

331.36

Maximum drawdown, backtest period (backtest)

-20.43%

—

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

-11.54%

-0.01%

Sharpe ratio, backtest period (backtest)

1.58

—

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

1.36

18.06

Sortino ratio, backtest period (backtest)

2.65

—

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

2.20

—

Standard deviation, backtest period (backtest)

15.23%

—

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

15.65%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

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