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Monthly Bitcoin/Dollar and Junk-Bond Canary Sleeves 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)

crypto & usd rotation, defensive hedges, momentum and mean-reversion, monthly rebalance, risk-on/risk-off, tactical asset allocation

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

Asset classes / instruments

equities

Market-relative

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

0.15

—

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

0.32

—

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

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

6.51

—

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

6.01

—

Daily win rate, backtest period (backtest)

56.16%

—

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

57.37%

—

Backtest

Backtest final value (from $10,000)

$48k

—

Backtest regulatory fees

$22

—

Backtest slippage cost

$161

—

Returns

Backtest length

1,339

—

Out-of-sample length

509

—

Return, backtest period (annualized) (backtest)

34.39%

—

Return, backtest period (cumulative) (backtest)

381.49%

—

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

21.11%

3.45%

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

46.67%

0.13%

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

0.13%

—

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

1.78%

0.00%

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

0.31%

—

Return, trailing 1 year (backtest)

10.00%

—

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

5.71%

0.00%

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

0.90%

—

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

4.79%

0.00%

SPY annualized return over the backtest window (backtest)

13.72%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.07

—

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

1.81

128.91

Maximum drawdown, backtest period (backtest)

-16.60%

—

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

-11.69%

-0.03%

Sharpe ratio, backtest period (backtest)

1.67

—

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

1.31

10.69

Sortino ratio, backtest period (backtest)

2.69

—

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

2.06

—

Standard deviation, backtest period (backtest)

18.80%

—

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

15.56%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.38

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

monthly

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