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Compare investment strategies

Treasury Switch: SPY or Staples on Bond Moves vs VIXM Volatility Scaling Hedge with SHV Cash

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

daily rebalance, defensive tilt, risk-on/off, tactical equity rotation, treasury-driven signal, us large-cap

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

Asset classes / instruments

equities

Market-relative

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

-0.00

—

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

1.00

—

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

—

Trading activity

Annualized turnover, backtest period (backtest)

0.58

—

Daily win rate, backtest period (backtest)

55.05%

—

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

55.33%

—

Backtest

Backtest final value (from $10,000)

$137k

—

Backtest regulatory fees

—

Backtest slippage cost

$64

—

Returns

Backtest length

6,080

—

Out-of-sample length

1,003

—

Return, backtest period (annualized) (backtest)

11.47%

—

Return, backtest period (cumulative) (backtest)

1273%

—

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

22.95%

3.45%

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

127.75%

0.13%

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

0.60%

—

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

2.37%

0.00%

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

1.16%

—

Return, trailing 1 year (backtest)

17.26%

—

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

17.26%

0.00%

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

0.94%

—

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

3.83%

0.00%

SPY annualized return over the backtest window (backtest)

11.30%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.21

—

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

1.22

128.91

Maximum drawdown, backtest period (backtest)

-54.51%

—

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

-18.76%

-0.03%

Sharpe ratio, backtest period (backtest)

0.67

—

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

1.41

10.69

Sortino ratio, backtest period (backtest)

0.96

—

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

2.16

—

Standard deviation, backtest period (backtest)

18.70%

—

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

15.54%

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)

—

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