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Not Today Satan Crisis-Alpha Volatility Strategy vs Domestic Leveraged Sector Trend Rotation

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)

crisis-alpha, leveraged-etfs, macro-risk-switch, mean-reversion, tactical-asset-allocation, volatility-harvesting

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.24

—

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

0.02

—

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

0.01

—

Trading activity

Annualized turnover, backtest period (backtest)

46.18

—

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

42.59

—

Daily win rate, backtest period (backtest)

48.98%

—

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

63.33%

—

Backtest

Backtest final value (from $10,000)

$53.8M

—

Backtest regulatory fees

$160k

—

Backtest slippage cost

$1.5M

—

Returns

Backtest length

3,228

—

Out-of-sample length

649

—

Return, backtest period (annualized) (backtest)

95.51%

—

Return, backtest period (cumulative) (backtest)

538k%

—

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

20.04%

67.14%

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

59.50%

4.80%

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

0.17%

—

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

-2.27%

4.80%

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

4.20%

—

Return, trailing 1 year (backtest)

14.78%

—

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

10.30%

0.00%

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

4.31%

—

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

-0.60%

0.00%

SPY annualized return over the backtest window (backtest)

13.94%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.31

—

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

0.91

53.07

Maximum drawdown, backtest period (backtest)

-22.14%

—

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

-22.15%

-1.27%

Sharpe ratio, backtest period (backtest)

1.89

—

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

0.71

4.69

Sortino ratio, backtest period (backtest)

6.52

—

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

1.46

—

Standard deviation, backtest period (backtest)

39.04%

—

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

33.10%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.99

—

Construction

Logic complexity (node count)

482

—

Rebalance corridor width

5.00%

1.00%

Rebalance frequency

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