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Semis-Focused Regime Switcher with Rate-Timed Bonds 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)

bond/rates filter, commodities/energy tilt, leveraged tech/semis, mean reversion, regime switching, trend following, volatility hedge

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

Asset classes / instruments

equities

Market-relative

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

0.49

—

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

2.14

—

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

0.32

—

Trading activity

Annualized turnover, backtest period (backtest)

110.27

—

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

129.73

—

Daily win rate, backtest period (backtest)

53.88%

—

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

46.90%

—

Backtest

Backtest final value (from $10,000)

$13.7M

—

Backtest regulatory fees

$68k

—

Backtest slippage cost

$617k

—

Returns

Backtest length

1,212

—

Out-of-sample length

113

—

Return, backtest period (annualized) (backtest)

348.24%

—

Return, backtest period (cumulative) (backtest)

137k%

—

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

108.88%

3.45%

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

37.12%

0.13%

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

0.02%

—

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

21.66%

0.00%

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

-9.01%

—

Return, trailing 1 year (backtest)

1.30%

—

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

-84.59%

0.00%

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

-15.08%

—

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

35.30%

0.00%

SPY annualized return over the backtest window (backtest)

12.67%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.33

—

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

2.85

128.91

Maximum drawdown, backtest period (backtest)

-65.35%

—

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

-38.18%

-0.03%

Sharpe ratio, backtest period (backtest)

2.21

—

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

1.30

10.69

Sortino ratio, backtest period (backtest)

4.08

—

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

1.65

—

Standard deviation, backtest period (backtest)

82.63%

—

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

81.55%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.82

—

Construction

Logic complexity (node count)

1,556

—

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