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Minimal SOXL/SOXS Contrarian Semis Rotation 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)

contrarian, daily rebalance, leveraged etfs, risk-on/risk-off, rsi-based, semiconductors, tactical, technology, volatility (vix)

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

Asset classes / instruments

equities

Market-relative

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

0.44

—

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

2.38

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

74.96

—

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

65.88

—

Daily win rate, backtest period (backtest)

53.30%

—

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

52.29%

—

Backtest

Backtest final value (from $10,000)

$4.3M

—

Backtest regulatory fees

$16k

—

Backtest slippage cost

$140k

—

Returns

Backtest length

1,728

—

Out-of-sample length

983

—

Return, backtest period (annualized) (backtest)

142.32%

—

Return, backtest period (cumulative) (backtest)

43k%

—

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

56.45%

3.45%

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

474.05%

0.13%

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

-1.94%

—

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

-24.73%

0.00%

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

1.12%

—

Return, trailing 1 year (backtest)

50.17%

—

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

50.16%

0.00%

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

-7.37%

—

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

-37.18%

0.00%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.73

—

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

0.75

128.91

Maximum drawdown, backtest period (backtest)

-82.17%

—

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

-75.05%

-0.03%

Sharpe ratio, backtest period (backtest)

1.37

—

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

0.94

10.69

Sortino ratio, backtest period (backtest)

2.10

—

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

1.43

—

Standard deviation, backtest period (backtest)

104.47%

—

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

99.32%

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)

216

—

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