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Pareto Portfolio Weekly Regime Rotation with Panic Guard 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)

bonds, cash management, commodities, momentum, regime switching, tactical asset allocation, trend following, u.s. large caps, volatility filter

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

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.60

—

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

0.48

—

Trading activity

Annualized turnover, backtest period (backtest)

61.16

—

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

62.68

—

Daily win rate, backtest period (backtest)

54.99%

—

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

53.47%

—

Backtest

Backtest final value (from $10,000)

$256k

—

Backtest regulatory fees

$1,299

—

Backtest slippage cost

$11k

—

Returns

Backtest length

2,375

—

Out-of-sample length

677

—

Return, backtest period (annualized) (backtest)

41.03%

—

Return, backtest period (cumulative) (backtest)

2458%

—

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

25.35%

3.45%

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

83.66%

0.13%

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

0.14%

—

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

3.52%

0.00%

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

0.02%

—

Return, trailing 1 year (backtest)

14.55%

—

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

14.55%

0.00%

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

1.27%

—

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

4.14%

0.00%

SPY annualized return over the backtest window (backtest)

15.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.72

—

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

1.06

128.91

Maximum drawdown, backtest period (backtest)

-23.85%

—

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

-23.85%

-0.03%

Sharpe ratio, backtest period (backtest)

1.81

—

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

1.27

10.69

Sortino ratio, backtest period (backtest)

2.76

—

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

1.90

—

Standard deviation, backtest period (backtest)

20.14%

—

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

19.24%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

105

—

Rebalance corridor width

5.00%

10.00%

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