Side-by-side comparison

Compare investment strategies

T-Bill vs SPY Defensive Switch, Fewer Derivatives 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)

defensive rotation, leveraged etfs, regime switching, risk-on/risk-off, tactical asset allocation, trend-following, us equities

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

Asset classes / instruments

equities

Market-relative

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

-0.00

—

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

2.03

—

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

0.78

—

Trading activity

Annualized turnover, backtest period (backtest)

11.13

—

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

10.44

—

Daily win rate, backtest period (backtest)

56.01%

—

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

54.63%

—

Backtest

Backtest final value (from $10,000)

$1.1M

—

Backtest regulatory fees

$1,179

—

Backtest slippage cost

$7,151

—

Returns

Backtest length

4,190

—

Out-of-sample length

917

—

Return, backtest period (annualized) (backtest)

32.33%

—

Return, backtest period (cumulative) (backtest)

10k%

—

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

38.50%

3.45%

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

227.54%

0.13%

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

1.50%

—

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

7.62%

0.00%

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

1.77%

—

Return, trailing 1 year (backtest)

25.70%

—

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

25.69%

0.00%

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

2.23%

—

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

5.41%

0.00%

SPY annualized return over the backtest window (backtest)

14.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.54

—

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

1.19

128.91

Maximum drawdown, backtest period (backtest)

-60.32%

—

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

-32.32%

-0.03%

Sharpe ratio, backtest period (backtest)

0.93

—

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

1.03

10.69

Sortino ratio, backtest period (backtest)

1.30

—

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

1.47

—

Standard deviation, backtest period (backtest)

37.70%

—

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

38.89%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.44

—

Construction

Logic complexity (node count)

—

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