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TMF/TMV Treasury Selector Gated by UVXY 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)

bonds, commodities, drawdown-based rotation, hedged, leveraged etfs, rsi/momentum, short-term, tactical multi-asset, volatility regime filter

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

Asset classes / instruments

equities

Market-relative

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

0.08

—

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

1.85

—

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

0.66

—

Trading activity

Annualized turnover, backtest period (backtest)

51.45

—

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

43.33

—

Daily win rate, backtest period (backtest)

52.60%

—

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

54.48%

—

Backtest

Backtest final value (from $10,000)

$441.4M

—

Backtest regulatory fees

$1.4M

—

Backtest slippage cost

$13.1M

—

Returns

Backtest length

3,755

—

Out-of-sample length

1,015

—

Return, backtest period (annualized) (backtest)

104.94%

—

Return, backtest period (cumulative) (backtest)

4414k%

—

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

43.84%

3.45%

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

333.02%

0.13%

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

0.05%

—

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

-1.83%

0.00%

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

0.19%

—

Return, trailing 1 year (backtest)

-9.15%

—

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

-9.16%

0.00%

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

0.29%

—

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

-8.01%

0.00%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.06

—

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

0.86

128.91

Maximum drawdown, backtest period (backtest)

-50.99%

—

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

-51.00%

-0.03%

Sharpe ratio, backtest period (backtest)

1.73

—

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

1.04

10.69

Sortino ratio, backtest period (backtest)

3.00

—

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

1.55

—

Standard deviation, backtest period (backtest)

47.80%

—

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

44.38%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.99

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

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