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Momentum and Low-Volatility ETFs with VIX Hedge vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

leveraged nasdaq, momentum and low-vol factors, rsi timing, tactical etf rotation, us equities, volatility hedge

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.06

—

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

1.58

—

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

0.75

—

Trading activity

Annualized turnover, backtest period (backtest)

31.79

—

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

27.64

—

Daily win rate, backtest period (backtest)

50.58%

—

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

55.77%

—

Backtest

Backtest final value (from $10,000)

$661k

—

Backtest regulatory fees

$1,532

—

Backtest slippage cost

$12k

—

Returns

Backtest length

2,764

—

Out-of-sample length

520

—

Return, backtest period (annualized) (backtest)

46.52%

—

Return, backtest period (cumulative) (backtest)

6512%

—

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

34.08%

76.55%

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

83.35%

3.91%

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

0.21%

—

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

0.74%

0.00%

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

-1.35%

—

Return, trailing 1 year (backtest)

18.42%

—

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

18.42%

0.00%

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

-1.15%

—

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

-3.79%

0.00%

SPY annualized return over the backtest window (backtest)

14.97%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.97

—

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

1.44

180.23

Maximum drawdown, backtest period (backtest)

-23.59%

—

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

-23.59%

-0.42%

Sharpe ratio, backtest period (backtest)

1.55

—

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

1.01

9.00

Sortino ratio, backtest period (backtest)

3.04

—

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

1.89

—

Standard deviation, backtest period (backtest)

26.97%

—

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

34.49%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

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