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SVIX Short Volatility with Drawdown Exit to T-Bills 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)

high risk, inverse vix, market timing, risk on/off, t-bills, volatility trading

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)

-0.22

—

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

2.76

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

3.99

—

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

3.01

—

Daily win rate, backtest period (backtest)

58.19%

—

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

57.78%

—

Backtest

Backtest final value (from $10,000)

$28k

—

Backtest regulatory fees

—

Backtest slippage cost

$50

—

Returns

Backtest length

1,136

—

Out-of-sample length

836

—

Return, backtest period (annualized) (backtest)

26.02%

—

Return, backtest period (cumulative) (backtest)

183.87%

—

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

18.72%

3.62%

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

76.83%

2.81%

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

1.40%

—

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

6.73%

0.34%

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

2.35%

—

Return, trailing 1 year (backtest)

33.87%

—

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

33.88%

86.44%

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

1.51%

—

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

21.91%

0.95%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.38

—

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

0.27

331.36

Maximum drawdown, backtest period (backtest)

-68.09%

—

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

-68.09%

-0.01%

Sharpe ratio, backtest period (backtest)

0.70

—

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

0.60

18.06

Sortino ratio, backtest period (backtest)

0.90

—

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

0.77

—

Standard deviation, backtest period (backtest)

58.41%

—

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

57.87%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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