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Hello Algo World: Trend, Momentum and TIP/STIP Weather Check 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)

etf rotation, macro regime, momentum, multi-asset, risk-on/off, tactical asset allocation, trend following

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

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

0.89

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

30.57

—

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

27.50

—

Daily win rate, backtest period (backtest)

55.21%

—

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

55.91%

—

Backtest

Backtest final value (from $10,000)

$98k

—

Backtest regulatory fees

$267

—

Backtest slippage cost

$2,102

—

Returns

Backtest length

2,407

—

Out-of-sample length

753

—

Return, backtest period (annualized) (backtest)

26.99%

—

Return, backtest period (cumulative) (backtest)

881.01%

—

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

28.73%

3.45%

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

112.89%

0.13%

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

0.15%

—

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

-0.79%

0.00%

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

-0.46%

—

Return, trailing 1 year (backtest)

23.11%

—

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

23.11%

0.00%

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

-0.71%

—

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

0.60%

0.00%

SPY annualized return over the backtest window (backtest)

15.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.51

—

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

1.97

128.91

Maximum drawdown, backtest period (backtest)

-17.85%

—

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

-14.61%

-0.03%

Sharpe ratio, backtest period (backtest)

1.26

—

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

1.30

10.69

Sortino ratio, backtest period (backtest)

1.90

—

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

1.99

—

Standard deviation, backtest period (backtest)

20.66%

—

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

21.14%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.92

—

Construction

Logic complexity (node count)

115

—

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