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QQQ RSI Switch with VIXY Overheat, T-Bill Default 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)

daily rebalancing, momentum (rsi), risk-on/risk-off, tactical asset allocation, tech-heavy, 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)

0.13

—

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

0.72

—

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

0.77

—

Trading activity

Annualized turnover, backtest period (backtest)

34.26

—

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

33.76

—

Daily win rate, backtest period (backtest)

55.92%

—

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

58.43%

—

Backtest

Backtest final value (from $10,000)

$868k

—

Backtest regulatory fees

$2,460

—

Backtest slippage cost

$21k

—

Returns

Backtest length

3,970

—

Out-of-sample length

356

—

Return, backtest period (annualized) (backtest)

32.75%

—

Return, backtest period (cumulative) (backtest)

8584%

—

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

31.77%

3.62%

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

46.85%

2.81%

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

-1.79%

—

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

1.51%

0.34%

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

-1.16%

—

Return, trailing 1 year (backtest)

22.32%

—

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

26.18%

6.30%

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

-1.09%

—

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

4.43%

0.95%

SPY annualized return over the backtest window (backtest)

14.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.58

—

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

6.95

331.36

Maximum drawdown, backtest period (backtest)

-20.69%

—

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

-4.57%

-0.01%

Sharpe ratio, backtest period (backtest)

1.84

—

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

2.50

18.06

Sortino ratio, backtest period (backtest)

3.11

—

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

4.03

—

Standard deviation, backtest period (backtest)

16.08%

—

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

11.31%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

119

—

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