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SPY-Timed Mid-Term VIX ETPs with UVXY Spike Exit vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

mid-term vix futures, risk-managed, tactical etf rotation, vix, volatility

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.12

—

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

0.38

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

54.01

—

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

54.61

—

Daily win rate, backtest period (backtest)

59.57%

—

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

57.68%

—

Backtest

Backtest final value (from $10,000)

$24k

—

Backtest regulatory fees

$136

—

Backtest slippage cost

$670

—

Returns

Backtest length

878

—

Out-of-sample length

475

—

Return, backtest period (annualized) (backtest)

29.10%

—

Return, backtest period (cumulative) (backtest)

143.71%

—

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

20.03%

3.62%

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

40.57%

2.81%

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

-0.43%

—

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

1.30%

0.34%

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

-1.02%

—

Return, trailing 1 year (backtest)

15.94%

—

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

19.66%

86.44%

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

-1.02%

—

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

4.11%

0.95%

SPY annualized return over the backtest window (backtest)

20.80%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.88

—

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

2.67

331.36

Maximum drawdown, backtest period (backtest)

-7.50%

—

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

-7.50%

-0.01%

Sharpe ratio, backtest period (backtest)

2.32

—

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

1.71

18.06

Sortino ratio, backtest period (backtest)

3.83

—

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

2.67

—

Standard deviation, backtest period (backtest)

11.32%

—

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

11.04%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.73

—

Construction

Logic complexity (node count)

124

—

Rebalance corridor width

—

9.00%

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