Side-by-side comparison

Compare investment strategies

SHY vs SPY: Exit on 20-Day UVXY RSI at 70 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)

daily rebalance, risk-on/off, rsi/momentum, tactical allocation, treasuries, us equities, volatility signal

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

Asset classes / instruments

equities

Market-relative

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

0.01

—

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

0.88

—

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

0.93

—

Trading activity

Annualized turnover, backtest period (backtest)

1.34

—

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

—

Daily win rate, backtest period (backtest)

55.15%

—

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

55.06%

—

Backtest

Backtest final value (from $10,000)

$90k

—

Backtest regulatory fees

$14

—

Backtest slippage cost

$122

—

Returns

Backtest length

3,755

—

Out-of-sample length

1,008

—

Return, backtest period (annualized) (backtest)

15.86%

—

Return, backtest period (cumulative) (backtest)

797.35%

—

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

20.29%

3.45%

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

109.51%

0.13%

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

0.60%

—

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

2.37%

0.00%

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

1.16%

—

Return, trailing 1 year (backtest)

17.26%

—

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

17.26%

0.00%

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

0.94%

—

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

3.83%

0.00%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.65

—

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

0.89

128.91

Maximum drawdown, backtest period (backtest)

-24.50%

—

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

-22.67%

-0.03%

Sharpe ratio, backtest period (backtest)

1.05

—

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

1.34

10.69

Sortino ratio, backtest period (backtest)

1.50

—

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

1.94

—

Standard deviation, backtest period (backtest)

15.11%

—

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

14.66%

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

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