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TQQQ or Not: Non-Degen On/Off Switch with Bond Stress Filter 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)

leveraged etf, mean reversion, momentum, nasdaq 100, risk-managed, tactical allocation, volatility 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)

-0.06

—

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

1.99

—

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

0.69

—

Trading activity

Annualized turnover, backtest period (backtest)

39.91

—

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

44.72

—

Daily win rate, backtest period (backtest)

47.56%

—

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

63.10%

—

Backtest

Backtest final value (from $10,000)

$55.3M

—

Backtest regulatory fees

$128k

—

Backtest slippage cost

$1.2M

—

Returns

Backtest length

4,180

—

Out-of-sample length

710

—

Return, backtest period (annualized) (backtest)

68.11%

—

Return, backtest period (cumulative) (backtest)

553k%

—

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

29.73%

3.45%

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

108.44%

0.13%

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

0.02%

—

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

10.54%

0.00%

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

0.07%

—

Return, trailing 1 year (backtest)

20.71%

—

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

20.69%

0.00%

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

0.15%

—

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

12.08%

0.00%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.52

—

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

0.84

128.91

Maximum drawdown, backtest period (backtest)

-44.75%

—

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

-35.53%

-0.03%

Sharpe ratio, backtest period (backtest)

1.49

—

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

0.80

10.69

Sortino ratio, backtest period (backtest)

2.44

—

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

1.23

—

Standard deviation, backtest period (backtest)

40.23%

—

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

44.37%

0.35%

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%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

104

—

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