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Overheat VIX Hedge with Risk-Weighted S&P and Tech vs Rising Rates Volatility Switch Risk-Parity Mix

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)

equities, mean reversion, risk-based weighting, tactical allocation, trend following, volatility hedge

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.11

—

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

0.86

—

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

0.82

—

Trading activity

Annualized turnover, backtest period (backtest)

19.42

—

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

17.10

—

Daily win rate, backtest period (backtest)

54.11%

—

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

59.16%

—

Backtest

Backtest final value (from $10,000)

$894k

—

Backtest regulatory fees

$1,294

—

Backtest slippage cost

$10k

—

Returns

Backtest length

3,781

—

Out-of-sample length

3,781

—

Return, backtest period (annualized) (backtest)

34.91%

—

Return, backtest period (cumulative) (backtest)

8845%

—

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

29.03%

3.62%

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

53.86%

2.81%

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

-1.68%

—

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

3.73%

0.34%

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

-2.58%

—

Return, trailing 1 year (backtest)

28.26%

—

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

32.03%

6.30%

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

-3.15%

—

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

5.89%

0.95%

SPY annualized return over the backtest window (backtest)

15.65%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.88

—

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

2.01

331.36

Maximum drawdown, backtest period (backtest)

-18.52%

—

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

-14.48%

-0.01%

Sharpe ratio, backtest period (backtest)

1.65

—

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

1.52

18.06

Sortino ratio, backtest period (backtest)

3.10

—

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

2.27

—

Standard deviation, backtest period (backtest)

19.30%

—

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

17.81%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.60

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

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