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Utilities RSI Switch for TQQQ or T-Bills 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 equity, momentum, regime filter, risk-on/risk-off, tactical allocation, utilities vs market

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

Asset classes / instruments

equities

Market-relative

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

-0.10

—

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

1.53

—

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

0.56

—

Trading activity

Annualized turnover, backtest period (backtest)

18.50

—

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

19.76

—

Daily win rate, backtest period (backtest)

49.93%

—

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

61.40%

—

Backtest

Backtest final value (from $10,000)

$1.6M

—

Backtest regulatory fees

$4,453

—

Backtest slippage cost

$30k

—

Returns

Backtest length

4,196

—

Out-of-sample length

816

—

Return, backtest period (annualized) (backtest)

35.58%

—

Return, backtest period (cumulative) (backtest)

16k%

—

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

16.44%

3.45%

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

63.21%

0.13%

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

-7.62%

—

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

13.82%

0.00%

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

-14.36%

—

Return, trailing 1 year (backtest)

2.46%

—

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

22.29%

0.00%

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

-17.97%

—

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

18.48%

0.00%

SPY annualized return over the backtest window (backtest)

14.49%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.82

—

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

0.41

128.91

Maximum drawdown, backtest period (backtest)

-43.43%

—

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

-40.51%

-0.03%

Sharpe ratio, backtest period (backtest)

0.98

—

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

0.58

10.69

Sortino ratio, backtest period (backtest)

1.41

—

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

0.61

—

Standard deviation, backtest period (backtest)

38.69%

—

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

40.53%

0.35%

Quality

Community review status

REJECTED

—

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