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Short Volatility SVXY with Drawdown Exit to T-Bills vs Domestic Leveraged Sector Trend Rotation

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)

crash filter, daily rebalancing, high risk, inverse vix futures, short volatility, tactical, t‑bills

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

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)

1.44

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

10.15

—

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

3.01

—

Daily win rate, backtest period (backtest)

56.95%

—

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

58.01%

—

Backtest

Backtest final value (from $10,000)

$907k

—

Backtest regulatory fees

$576

—

Backtest slippage cost

$4,612

—

Returns

Backtest length

3,772

—

Out-of-sample length

836

—

Return, backtest period (annualized) (backtest)

35.13%

—

Return, backtest period (cumulative) (backtest)

8973%

—

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

19.57%

67.14%

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

81.05%

4.80%

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

0.81%

—

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

3.71%

4.80%

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

1.26%

—

Return, trailing 1 year (backtest)

24.47%

—

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

24.47%

0.00%

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

1.09%

—

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

12.10%

0.00%

SPY annualized return over the backtest window (backtest)

15.58%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.54

—

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

0.50

53.07

Maximum drawdown, backtest period (backtest)

-64.74%

—

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

-39.23%

-1.27%

Sharpe ratio, backtest period (backtest)

0.92

—

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

0.75

4.69

Sortino ratio, backtest period (backtest)

1.22

—

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

0.97

—

Standard deviation, backtest period (backtest)

43.24%

—

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

30.15%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

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