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The Monster: VIX-Aware Offense/Defense with Leveraged Stocks 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, multi-asset, rates-driven, regime switching, tactical allocation, volatility hedging

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)

0.16

—

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

0.56

—

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

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

47.57

—

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

48.33

—

Daily win rate, backtest period (backtest)

57.94%

—

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

54.08%

—

Backtest

Backtest final value (from $10,000)

$83.8M

—

Backtest regulatory fees

$266k

—

Backtest slippage cost

$2.5M

—

Returns

Backtest length

2,972

—

Out-of-sample length

797

—

Return, backtest period (annualized) (backtest)

115.05%

—

Return, backtest period (cumulative) (backtest)

838k%

—

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

26.53%

67.14%

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

110.69%

4.80%

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

-0.02%

—

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

0.75%

4.80%

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

1.31%

—

Return, trailing 1 year (backtest)

3.82%

—

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

3.79%

0.00%

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

0.87%

—

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

18.31%

0.00%

SPY annualized return over the backtest window (backtest)

14.08%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.17

—

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

0.96

53.07

Maximum drawdown, backtest period (backtest)

-27.56%

—

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

-27.57%

-1.27%

Sharpe ratio, backtest period (backtest)

2.96

—

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

1.07

4.69

Sortino ratio, backtest period (backtest)

6.45

—

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

1.81

—

Standard deviation, backtest period (backtest)

27.09%

—

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

24.78%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.10

—

Construction

Logic complexity (node count)

1,849

—

Rebalance corridor width

5.00%

1.00%

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