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Semiconductor 3x Long/Short Switcher with VIX 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)

daily rebalancing, high risk, leveraged etfs, macro regime, semiconductors, tactical, trend & mean reversion, volatility hedging

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

Asset classes / instruments

equities

Market-relative

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

0.27

—

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

0.94

—

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

0.21

—

Trading activity

Annualized turnover, backtest period (backtest)

106.28

—

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

99.46

—

Daily win rate, backtest period (backtest)

57.58%

—

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

52.39%

—

Backtest

Backtest final value (from $10,000)

$9.7B

—

Backtest regulatory fees

$69.8M

—

Backtest slippage cost

$672.8M

—

Returns

Backtest length

1,728

—

Out-of-sample length

983

—

Return, backtest period (annualized) (backtest)

645.64%

—

Return, backtest period (cumulative) (backtest)

96941k%

—

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

27.41%

3.45%

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

157.47%

0.13%

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

-1.52%

—

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

-0.29%

0.00%

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

8.66%

—

Return, trailing 1 year (backtest)

-29.75%

—

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

-29.78%

0.00%

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

4.75%

—

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

54.37%

0.00%

SPY annualized return over the backtest window (backtest)

16.03%

—

Risk metrics

Calmar ratio, backtest period (backtest)

9.57

—

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

0.41

128.91

Maximum drawdown, backtest period (backtest)

-67.48%

—

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

-67.50%

-0.03%

Sharpe ratio, backtest period (backtest)

2.95

—

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

0.67

10.69

Sortino ratio, backtest period (backtest)

6.24

—

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

1.14

—

Standard deviation, backtest period (backtest)

77.79%

—

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

68.93%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.67

—

Construction

Logic complexity (node count)

1,246

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

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