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TQQQ vs T-Bills on Utilities and Junk Bond Momentum 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)

cash proxy, daily rebalance, leveraged qqq, relative strength, risk-on/risk-off, tactical momentum

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

Asset classes / instruments

equities

Market-relative

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

0.01

—

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

1.60

—

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

0.75

—

Trading activity

Annualized turnover, backtest period (backtest)

19.25

—

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

23.93

—

Daily win rate, backtest period (backtest)

53.91%

—

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

58.35%

—

Backtest

Backtest final value (from $10,000)

$7.4M

—

Backtest regulatory fees

$12k

—

Backtest slippage cost

$94k

—

Returns

Backtest length

4,190

—

Out-of-sample length

653

—

Return, backtest period (annualized) (backtest)

48.80%

—

Return, backtest period (cumulative) (backtest)

74k%

—

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

29.09%

3.45%

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

94.01%

0.13%

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

0.68%

—

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

7.11%

0.00%

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

0.24%

—

Return, trailing 1 year (backtest)

26.98%

—

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

26.98%

0.00%

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

1.19%

—

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

5.55%

0.00%

SPY annualized return over the backtest window (backtest)

14.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.22

—

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

0.73

128.91

Maximum drawdown, backtest period (backtest)

-40.10%

—

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

-40.11%

-0.03%

Sharpe ratio, backtest period (backtest)

1.39

—

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

0.93

10.69

Sortino ratio, backtest period (backtest)

2.07

—

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

1.32

—

Standard deviation, backtest period (backtest)

32.43%

—

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

33.69%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.67

—

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