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Meta-Strategy Funding Best Recent Sub-Models 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)

bonds, commodities, equities, leveraged etfs, momentum, risk-on/risk-off, tactical asset allocation, trend following, volatility

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

Asset classes / instruments

equities

Market-relative

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

0.05

—

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

0.73

—

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

0.52

—

Trading activity

Annualized turnover, backtest period (backtest)

63.76

—

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

68.75

—

Daily win rate, backtest period (backtest)

55.75%

—

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

53.48%

—

Backtest

Backtest final value (from $10,000)

$197k

—

Backtest regulatory fees

$1,360

—

Backtest slippage cost

$10k

—

Returns

Backtest length

2,355

—

Out-of-sample length

733

—

Return, backtest period (annualized) (backtest)

37.54%

—

Return, backtest period (cumulative) (backtest)

1869%

—

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

20.23%

3.45%

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

71.03%

0.13%

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

0.19%

—

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

3.54%

0.00%

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

-0.21%

—

Return, trailing 1 year (backtest)

16.84%

—

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

16.84%

0.00%

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

2.13%

—

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

-5.45%

0.00%

SPY annualized return over the backtest window (backtest)

15.13%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.09

—

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

0.59

128.91

Maximum drawdown, backtest period (backtest)

-34.51%

—

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

-34.51%

-0.03%

Sharpe ratio, backtest period (backtest)

1.44

—

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

0.97

10.69

Sortino ratio, backtest period (backtest)

2.12

—

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

1.38

—

Standard deviation, backtest period (backtest)

24.15%

—

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

21.47%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.26

—

Construction

Logic complexity (node count)

283

—

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