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Compare investment strategies

Short-Term Volatility: SVIX, VXX or Cash on SPY RSI vs D-Fence Trend Switch: SPY or T-Bills with Hedges

Every published figureShow 42 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 rebalanced, mean reversion, risk-managed, short-term volatility, systematic, tactical etf, vix etp rotation

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

Asset classes / instruments

equities

Market-relative

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

0.23

—

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

1.10

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

41.28

—

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

40.11

—

Daily win rate, backtest period (backtest)

59.15%

—

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

57.34%

—

Backtest

Backtest final value (from $10,000)

$126k

—

Backtest regulatory fees

$255

—

Backtest slippage cost

$1,783

—

Returns

Backtest length

1,136

—

Out-of-sample length

368

—

Return, backtest period (annualized) (backtest)

75.35%

—

Return, backtest period (cumulative) (backtest)

1160%

—

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

66.41%

40.01%

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

110.81%

2.98%

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

0.45%

—

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

2.71%

2.98%

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

0.30%

—

Return, trailing 1 year (backtest)

58.70%

—

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

58.71%

0.00%

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

-0.22%

—

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

11.54%

2.82%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.83

—

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

9.35

28.47

Maximum drawdown, backtest period (backtest)

-12.91%

—

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

-7.10%

-1.41%

Sharpe ratio, backtest period (backtest)

2.36

—

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

2.49

3.57

Sortino ratio, backtest period (backtest)

4.27

—

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

4.54

—

Standard deviation, backtest period (backtest)

25.11%

—

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

21.48%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

0.53

—

Construction

Logic complexity (node count)

336

—

Rebalance frequency

daily

Popularity

Remixes (copies)

406

—

Watchers

160

—

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