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Stock/Bond Trend Regimes, Volatility-Sized Leverage 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)

diversification, leveraged etfs, macro regime, momentum, multi-asset, risk parity, tactical rotation, trend following, volatility hedging

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

Asset classes / instruments

equities

Market-relative

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

0.09

—

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

0.72

—

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

0.61

—

Trading activity

Annualized turnover, backtest period (backtest)

43.36

—

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

43.07

—

Daily win rate, backtest period (backtest)

59.55%

—

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

56.70%

—

Backtest

Backtest final value (from $10,000)

$80k

—

Backtest regulatory fees

$248

—

Backtest slippage cost

$1,793

—

Returns

Backtest length

1,167

—

Out-of-sample length

358

—

Return, backtest period (annualized) (backtest)

56.69%

—

Return, backtest period (cumulative) (backtest)

701.68%

—

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

25.71%

3.45%

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

37.78%

0.13%

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

-0.30%

—

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

2.12%

0.00%

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

-0.31%

—

Return, trailing 1 year (backtest)

13.73%

—

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

18.66%

0.00%

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

0.12%

—

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

11.99%

0.00%

SPY annualized return over the backtest window (backtest)

15.31%

—

Risk metrics

Calmar ratio, backtest period (backtest)

3.37

—

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

3.23

128.91

Maximum drawdown, backtest period (backtest)

-16.81%

—

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

-7.95%

-0.03%

Sharpe ratio, backtest period (backtest)

2.80

—

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

1.68

10.69

Sortino ratio, backtest period (backtest)

4.89

—

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

2.54

—

Standard deviation, backtest period (backtest)

16.52%

—

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

14.22%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.15

—

Construction

Logic complexity (node count)

6,902

—

Rebalance corridor width

—

10.00%

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