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Compare investment strategies

Regime Switching with Brian's RSI and VIX Hedge vs 100% SGOV Treasury Bill Cash Holder

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/inverse etfs, momentum & mean reversion, regime switching, tactical allocation, u.s. equities & treasuries, volatility hedge

capital preservation, cash management, low-risk income, treasury bills, ultra-short bond etf

Asset classes / instruments

equities

Market-relative

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

0.14

—

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

0.85

—

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

0.37

—

Trading activity

Annualized turnover, backtest period (backtest)

61.38

—

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

59.17

—

Daily win rate, backtest period (backtest)

52.35%

—

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

54.15%

—

Backtest

Backtest final value (from $10,000)

$31.8M

—

Backtest regulatory fees

$104k

—

Backtest slippage cost

$971k

—

Returns

Backtest length

3,765

—

Out-of-sample length

988

—

Return, backtest period (annualized) (backtest)

71.52%

—

Return, backtest period (cumulative) (backtest)

318k%

—

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

28.00%

3.61%

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

163.47%

0.76%

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

0.05%

—

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

-1.22%

0.32%

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

0.19%

—

Return, trailing 1 year (backtest)

16.81%

—

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

16.79%

0.00%

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

0.29%

—

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

-4.59%

0.00%

SPY annualized return over the backtest window (backtest)

15.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.45

—

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

0.66

45148.96

Maximum drawdown, backtest period (backtest)

-49.38%

—

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

-42.22%

-0.00%

Sharpe ratio, backtest period (backtest)

1.69

—

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

0.88

20.28

Sortino ratio, backtest period (backtest)

2.80

—

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

1.27

—

Standard deviation, backtest period (backtest)

35.73%

—

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

35.18%

0.18%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

9.00%

—

Rebalance frequency

none

daily

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