Side-by-side comparison

Compare investment strategies

SPY or T-Bills Switch on RSI and Volatility 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)

risk management, rsi filter, tactical allocation, us stocks vs cash, volatility filter

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

Asset classes / instruments

equities

Market-relative

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

0.05

—

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

0.62

—

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

0.92

—

Trading activity

Annualized turnover, backtest period (backtest)

16.46

—

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

13.59

—

Daily win rate, backtest period (backtest)

54.81%

—

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

58.51%

—

Backtest

Backtest final value (from $10,000)

$161k

—

Backtest regulatory fees

$361

—

Backtest slippage cost

$3,147

—

Returns

Backtest length

4,809

—

Out-of-sample length

817

—

Return, backtest period (annualized) (backtest)

15.68%

—

Return, backtest period (cumulative) (backtest)

1513%

—

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

17.98%

3.45%

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

71.03%

0.13%

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

0.32%

—

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

1.35%

0.00%

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

0.62%

—

Return, trailing 1 year (backtest)

17.45%

—

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

17.45%

0.00%

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

0.55%

—

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

3.23%

0.00%

SPY annualized return over the backtest window (backtest)

11.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.67

—

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

1.43

128.91

Maximum drawdown, backtest period (backtest)

-23.26%

—

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

-12.56%

-0.03%

Sharpe ratio, backtest period (backtest)

1.06

—

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

1.68

10.69

Sortino ratio, backtest period (backtest)

1.65

—

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

2.90

—

Standard deviation, backtest period (backtest)

14.80%

—

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

10.16%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.55

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

1.00%

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