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Inflation-Aware Semiconductor Rotation on IEF/IBTK Signal 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)

bond signals, daily, leveraged etfs, mean reversion, momentum, risk-on/risk-off, semiconductors, tactical

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

Asset classes / instruments

equities

Market-relative

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

0.95

—

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

0.94

—

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

0.11

—

Trading activity

Annualized turnover, backtest period (backtest)

84.93

—

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

73.28

—

Daily win rate, backtest period (backtest)

54.37%

—

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

52.82%

—

Backtest

Backtest final value (from $10,000)

$52.2M

—

Backtest regulatory fees

$138k

—

Backtest slippage cost

$1.3M

—

Returns

Backtest length

1,258

—

Out-of-sample length

337

—

Return, backtest period (annualized) (backtest)

454.85%

—

Return, backtest period (cumulative) (backtest)

522k%

—

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

83.52%

3.45%

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

125.77%

0.13%

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

-1.26%

—

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

-24.19%

0.00%

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

1.84%

—

Return, trailing 1 year (backtest)

179.04%

—

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

178.98%

0.00%

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

-6.70%

—

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

-18.72%

0.00%

SPY annualized return over the backtest window (backtest)

13.97%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.69

—

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

1.41

128.91

Maximum drawdown, backtest period (backtest)

-59.13%

—

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

-59.13%

-0.03%

Sharpe ratio, backtest period (backtest)

2.39

—

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

1.10

10.69

Sortino ratio, backtest period (backtest)

3.99

—

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

1.71

—

Standard deviation, backtest period (backtest)

88.20%

—

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

105.20%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

143

—

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