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SPY Trend Following with Treasuries and VIXY Hedge vs VIXM Volatility Scaling Hedge with SHV Cash

What they say: stated rules

Each rule is quoted from the strategy's own documents. Tap a ✓ to read the quote. Shared rules come first.

Rules stated

Allocation target: Bonds / Treasuries

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Allocation target: Equities

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Hedge / defensive overlay: Volatility products (VIX)

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Leverage use

—

Trading signal

—

Trading signal: Trend (moving averages)

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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, leveraged etf, rules-based, tactical allocation, trend following, us equities, volatility hedge

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

Asset classes / instruments

equities

Market-relative

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

-0.01

—

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

1.43

—

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

0.74

—

Trading activity

Annualized turnover, backtest period (backtest)

18.88

—

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

16.62

—

Daily win rate, backtest period (backtest)

56.33%

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

55.27%

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Backtest

Backtest final value (from $10,000)

$2.3M

—

Backtest regulatory fees

$3,154

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Backtest slippage cost

$27k

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Returns

Backtest length

3,964

—

Out-of-sample length

883

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Return, backtest period (annualized) (backtest)

41.17%

—

Return, backtest period (cumulative) (backtest)

23k%

—

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

28.00%

3.45%

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

137.70%

0.13%

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

0.60%

—

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

2.37%

0.00%

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

1.16%

—

Return, trailing 1 year (backtest)

29.34%

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

29.34%

0.00%

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

0.94%

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

3.83%

0.00%

SPY annualized return over the backtest window (backtest)

14.20%

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Risk metrics

Calmar ratio, backtest period (backtest)

1.46

—

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

0.99

128.91

Maximum drawdown, backtest period (backtest)

-28.16%

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

-28.16%

-0.03%

Sharpe ratio, backtest period (backtest)

1.43

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

1.00

10.69

Sortino ratio, backtest period (backtest)

2.82

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

1.94

—

Standard deviation, backtest period (backtest)

26.37%

—

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

28.58%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.89

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

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