Side-by-side comparison

Compare investment strategies

SPY/Energy/Chips/Commodities Momentum with VIXM Escape vs Rising Rates Volatility Switch Risk-Parity Mix

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)

commodities, crash protection, energy, equities, momentum rotation, semiconductors, single-position, tactical allocation, volatility hedge

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.35

—

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

1.62

—

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

0.46

—

Trading activity

Annualized turnover, backtest period (backtest)

18.75

—

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

12.39

—

Daily win rate, backtest period (backtest)

53.51%

—

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

53.42%

—

Backtest

Backtest final value (from $10,000)

$30.6M

—

Backtest regulatory fees

$22k

—

Backtest slippage cost

$202k

—

Returns

Backtest length

3,562

—

Out-of-sample length

1,037

—

Return, backtest period (annualized) (backtest)

76.43%

—

Return, backtest period (cumulative) (backtest)

306k%

—

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

61.66%

3.62%

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

623.11%

2.81%

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

-2.03%

—

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

16.70%

0.34%

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

-4.07%

—

Return, trailing 1 year (backtest)

-5.82%

—

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

-5.82%

6.30%

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

-3.57%

—

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

11.23%

0.95%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.22

—

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

0.98

331.36

Maximum drawdown, backtest period (backtest)

-62.81%

—

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

-62.81%

-0.01%

Sharpe ratio, backtest period (backtest)

1.21

—

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

1.13

18.06

Sortino ratio, backtest period (backtest)

1.92

—

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

1.77

—

Standard deviation, backtest period (backtest)

62.89%

—

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

56.42%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

Rebalance frequency

none

Popularity

Remixes (copies)

168

—

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