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Top-5 S&P 500 Momentum with SH Inverse Fallback 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)

inverse etf hedge, large-cap u.s., market timing, mean reversion, momentum and trend, tactical equity rotation

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

Asset classes / instruments

equities

Market-relative

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

0.62

—

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

2.18

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

36.76

—

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

34.15

—

Daily win rate, backtest period (backtest)

55.31%

—

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

52.58%

—

Backtest

Backtest final value (from $10,000)

$128k

—

Backtest regulatory fees

$85

—

Backtest slippage cost

$715

—

Returns

Backtest length

546

—

Out-of-sample length

194

—

Return, backtest period (annualized) (backtest)

223.47%

—

Return, backtest period (cumulative) (backtest)

1178%

—

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

145.07%

3.45%

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

100.10%

0.13%

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

2.74%

—

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

12.97%

0.00%

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

1.78%

—

Return, trailing 1 year (backtest)

140.27%

—

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

42.97%

0.00%

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

3.25%

—

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

6.29%

0.00%

SPY annualized return over the backtest window (backtest)

21.65%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.82

—

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

5.39

128.91

Maximum drawdown, backtest period (backtest)

-38.40%

—

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

-26.93%

-0.03%

Sharpe ratio, backtest period (backtest)

1.58

—

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

1.97

10.69

Sortino ratio, backtest period (backtest)

5.28

—

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

3.14

—

Standard deviation, backtest period (backtest)

92.85%

—

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

52.68%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.24

—

Construction

Logic complexity (node count)

551

—

Rebalance corridor width

20.00%

10.00%

Rebalance frequency

none

Popularity

Remixes (copies)

317

—

Watchers

127

—

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