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SVXY/UVXY Volatility Switcher with T-Bill Fallback 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)

leveraged etfs, momentum/rsi, risk management, tactical allocation, vix etps, volatility trading

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)

0.27

—

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

1.11

—

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

0.44

—

Trading activity

Annualized turnover, backtest period (backtest)

28.71

—

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

18.98

—

Daily win rate, backtest period (backtest)

58.64%

—

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

56.49%

—

Backtest

Backtest final value (from $10,000)

$1.4B

—

Backtest regulatory fees

$1.2M

—

Backtest slippage cost

$11.4M

—

Returns

Backtest length

3,774

—

Out-of-sample length

478

—

Return, backtest period (annualized) (backtest)

120.78%

—

Return, backtest period (cumulative) (backtest)

14207k%

—

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

44.08%

67.14%

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

100.20%

4.80%

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

0.81%

—

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

3.71%

4.80%

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

1.26%

—

Return, trailing 1 year (backtest)

29.81%

—

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

29.80%

0.00%

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

1.09%

—

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

12.10%

0.00%

SPY annualized return over the backtest window (backtest)

15.66%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.07

—

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

1.46

53.07

Maximum drawdown, backtest period (backtest)

-58.25%

—

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

-30.19%

-1.27%

Sharpe ratio, backtest period (backtest)

1.71

—

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

1.07

4.69

Sortino ratio, backtest period (backtest)

2.69

—

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

1.68

—

Standard deviation, backtest period (backtest)

54.93%

—

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

42.47%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

1.00%

Rebalance frequency

none

Popularity

Remixes (copies)

136

—

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