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SPY 200-Day Trend with QQQ/SPY Dip Buys and SHY/PSQ 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)

bonds, inverse etf, mean reversion, tactical asset allocation, trend following, us equities

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)

0.79

—

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

0.69

—

Trading activity

Annualized turnover, backtest period (backtest)

17.42

—

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

10.56

—

Daily win rate, backtest period (backtest)

56.27%

—

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

55.60%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$1,084

—

Backtest slippage cost

$9,452

—

Returns

Backtest length

5,097

—

Out-of-sample length

1,009

—

Return, backtest period (annualized) (backtest)

26.41%

—

Return, backtest period (cumulative) (backtest)

11k%

—

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

25.84%

3.45%

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

151.19%

0.13%

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

0.54%

—

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

3.71%

0.00%

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

0.67%

—

Return, trailing 1 year (backtest)

24.32%

—

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

24.32%

0.00%

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

0.92%

—

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

3.91%

0.00%

SPY annualized return over the backtest window (backtest)

11.38%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.34

—

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

1.31

128.91

Maximum drawdown, backtest period (backtest)

-19.68%

—

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

-19.68%

-0.03%

Sharpe ratio, backtest period (backtest)

1.35

—

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

1.36

10.69

Sortino ratio, backtest period (backtest)

2.09

—

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

2.06

—

Standard deviation, backtest period (backtest)

18.70%

—

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

18.12%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.56

—

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