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SPY RSI-Timed VIX Trades: Short Vol, VXZ, Cash 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)

daily rebalance, derivatives etps, risk-managed, rsi-based tactical, short-term signals, volatility/vix

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)

0.20

—

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

0.11

—

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

0.18

—

Trading activity

Annualized turnover, backtest period (backtest)

68.35

—

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

67.52

—

Daily win rate, backtest period (backtest)

59.57%

—

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

58.26%

—

Backtest

Backtest final value (from $10,000)

$25k

—

Backtest regulatory fees

$147

—

Backtest slippage cost

$856

—

Returns

Backtest length

878

—

Out-of-sample length

472

—

Return, backtest period (annualized) (backtest)

30.64%

—

Return, backtest period (cumulative) (backtest)

154.05%

—

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

24.79%

67.14%

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

50.74%

4.80%

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

0.03%

—

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

-0.34%

4.80%

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

-0.51%

—

Return, trailing 1 year (backtest)

13.73%

—

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

16.40%

0.00%

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

-1.03%

—

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

0.91%

0.00%

SPY annualized return over the backtest window (backtest)

20.80%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.43

—

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

4.35

53.07

Maximum drawdown, backtest period (backtest)

-8.92%

—

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

-5.70%

-1.27%

Sharpe ratio, backtest period (backtest)

2.51

—

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

2.25

4.69

Sortino ratio, backtest period (backtest)

4.51

—

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

3.64

—

Standard deviation, backtest period (backtest)

10.90%

—

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

10.11%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.78

—

Construction

Logic complexity (node count)

112

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

344

—

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