Side-by-side comparison

Compare investment strategies

Sector Trend Sleeves, SPY 200-Day Core, TLT Switch 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)

etfs, momentum, risk management, sector rotation, tactical asset allocation, trend following

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)

0.80

—

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

0.86

—

Trading activity

Annualized turnover, backtest period (backtest)

12.93

—

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

10.66

—

Daily win rate, backtest period (backtest)

55.99%

—

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

57.59%

—

Backtest

Backtest final value (from $10,000)

$197k

—

Backtest regulatory fees

$310

—

Backtest slippage cost

$2,444

—

Returns

Backtest length

4,878

—

Out-of-sample length

547

—

Return, backtest period (annualized) (backtest)

16.64%

—

Return, backtest period (cumulative) (backtest)

1867%

—

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

21.27%

3.45%

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

51.39%

0.13%

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

-0.94%

—

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

2.56%

0.00%

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

-1.48%

—

Return, trailing 1 year (backtest)

13.85%

—

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

16.01%

0.00%

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

-1.01%

—

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

4.89%

0.00%

SPY annualized return over the backtest window (backtest)

10.68%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.88

—

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

1.74

128.91

Maximum drawdown, backtest period (backtest)

-18.98%

—

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

-12.24%

-0.03%

Sharpe ratio, backtest period (backtest)

1.19

—

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

1.35

10.69

Sortino ratio, backtest period (backtest)

1.87

—

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

2.22

—

Standard deviation, backtest period (backtest)

13.66%

—

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

15.10%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.50

—

Construction

Logic complexity (node count)

155

—

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