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Short-Term VIX Fade with Bitcoin Proxy and Managed Futures vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

crypto proxies, leveraged etfs, managed futures, mean reversion, sector rotation, short-term, tactical, volatility timing

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.14

—

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

2.72

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

105.35

—

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

102.67

—

Daily win rate, backtest period (backtest)

49.56%

—

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

47.44%

—

Backtest

Backtest final value (from $10,000)

$118k

—

Backtest regulatory fees

$1,145

—

Backtest slippage cost

$8,507

—

Returns

Backtest length

801

—

Out-of-sample length

546

—

Return, backtest period (annualized) (backtest)

117.32%

—

Return, backtest period (cumulative) (backtest)

1083%

—

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

36.19%

3.62%

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

95.51%

2.81%

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

8.43%

—

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

34.01%

0.34%

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

-4.73%

—

Return, trailing 1 year (backtest)

-49.71%

—

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

-49.71%

86.44%

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

-16.66%

—

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

94.45%

0.95%

SPY annualized return over the backtest window (backtest)

19.75%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.39

—

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

0.43

331.36

Maximum drawdown, backtest period (backtest)

-84.55%

—

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

-84.55%

-0.01%

Sharpe ratio, backtest period (backtest)

1.28

—

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

0.78

18.06

Sortino ratio, backtest period (backtest)

2.15

—

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

1.26

—

Standard deviation, backtest period (backtest)

93.84%

—

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

90.64%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.70

—

Construction

Logic complexity (node count)

401

—

Rebalance corridor width

5.00%

9.00%

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