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Shipping and S&P Trend Regime with Top Momentum Winner 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 timing, crash hedging, leveraged etfs, macro regime, momentum, risk-on/risk-off, trend-following, volatility overlay

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

Asset classes / instruments

equities

Market-relative

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

0.77

—

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

1.70

—

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

0.25

—

Trading activity

Annualized turnover, backtest period (backtest)

120.60

—

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

150.18

—

Daily win rate, backtest period (backtest)

55.43%

—

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

54.39%

—

Backtest

Backtest final value (from $10,000)

$1.3M

—

Backtest regulatory fees

$4,079

—

Backtest slippage cost

$35k

—

Returns

Backtest length

810

—

Out-of-sample length

228

—

Return, backtest period (annualized) (backtest)

352.34%

—

Return, backtest period (cumulative) (backtest)

13k%

—

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

95.13%

3.45%

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

83.58%

0.13%

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

0.32%

—

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

13.32%

0.00%

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

-3.61%

—

Return, trailing 1 year (backtest)

38.82%

—

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

-86.96%

0.00%

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

-5.10%

—

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

63.54%

0.00%

SPY annualized return over the backtest window (backtest)

19.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.20

—

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

1.97

128.91

Maximum drawdown, backtest period (backtest)

-56.82%

—

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

-48.39%

-0.03%

Sharpe ratio, backtest period (backtest)

2.42

—

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

1.21

10.69

Sortino ratio, backtest period (backtest)

4.23

—

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

1.82

—

Standard deviation, backtest period (backtest)

73.60%

—

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

87.30%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

4,045

—

Rebalance corridor width

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