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Protected 3x S&P/Nasdaq with Fund Surfing Hedges 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)

leveraged etfs, mean-reversion, multi-asset hedging, rates regime, risk-on/risk-off, tactical rotation, 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)

-0.05

—

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

2.16

—

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

0.50

—

Trading activity

Annualized turnover, backtest period (backtest)

67.87

—

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

70.74

—

Daily win rate, backtest period (backtest)

54.13%

—

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

53.86%

—

Backtest

Backtest final value (from $10,000)

$28.9M

—

Backtest regulatory fees

$162k

—

Backtest slippage cost

$1.5M

—

Returns

Backtest length

2,976

—

Out-of-sample length

830

—

Return, backtest period (annualized) (backtest)

96.29%

—

Return, backtest period (cumulative) (backtest)

288k%

—

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

17.62%

3.45%

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

70.75%

0.13%

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

-0.43%

—

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

1.81%

0.00%

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

1.21%

—

Return, trailing 1 year (backtest)

-8.50%

—

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

-8.53%

0.00%

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

1.26%

—

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

3.81%

0.00%

SPY annualized return over the backtest window (backtest)

13.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.15

—

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

0.21

128.91

Maximum drawdown, backtest period (backtest)

-84.09%

—

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

-84.10%

-0.03%

Sharpe ratio, backtest period (backtest)

1.54

—

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

0.59

10.69

Sortino ratio, backtest period (backtest)

2.31

—

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

0.78

—

Standard deviation, backtest period (backtest)

53.05%

—

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

64.13%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.71

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

106

—

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