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Shipping Index (BDRY) Signal for SPXL or T-Bills 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)

leveraged etf, macro shipping signal, mean reversion, momentum, risk-on/risk-off, s&p 500, t-bills, tactical allocation

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

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

1.80

—

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

0.79

—

Trading activity

Annualized turnover, backtest period (backtest)

17.49

—

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

7.30

—

Daily win rate, backtest period (backtest)

57.11%

—

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

62.36%

—

Backtest

Backtest final value (from $10,000)

$562k

—

Backtest regulatory fees

$406

—

Backtest slippage cost

$3,538

—

Returns

Backtest length

2,089

—

Out-of-sample length

518

—

Return, backtest period (annualized) (backtest)

62.54%

—

Return, backtest period (cumulative) (backtest)

5520%

—

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

39.20%

3.45%

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

97.63%

0.13%

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

1.68%

—

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

6.00%

0.00%

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

3.23%

—

Return, trailing 1 year (backtest)

44.76%

—

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

44.76%

0.00%

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

2.30%

—

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

8.16%

0.00%

SPY annualized return over the backtest window (backtest)

15.00%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.34

—

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

1.46

128.91

Maximum drawdown, backtest period (backtest)

-26.77%

—

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

-26.77%

-0.03%

Sharpe ratio, backtest period (backtest)

1.59

—

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

1.07

10.69

Sortino ratio, backtest period (backtest)

2.79

—

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

1.70

—

Standard deviation, backtest period (backtest)

34.20%

—

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

37.31%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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