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VIX and Volatility Regime Switch with Defensive Basket vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

defensive mix, etf rotation, leveraged nasdaq tilt, tactical allocation, vix overlay, volatility regime filter

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

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)

1.02

—

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

0.70

—

Trading activity

Annualized turnover, backtest period (backtest)

19.90

—

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

21.77

—

Daily win rate, backtest period (backtest)

56.95%

—

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

56.83%

—

Backtest

Backtest final value (from $10,000)

$414k

—

Backtest regulatory fees

$1,010

—

Backtest slippage cost

$7,231

—

Returns

Backtest length

3,775

—

Out-of-sample length

864

—

Return, backtest period (annualized) (backtest)

28.22%

—

Return, backtest period (cumulative) (backtest)

4044%

—

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

21.48%

261.52%

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

95.00%

6.85%

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

0.42%

—

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

0.11%

1.95%

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

0.36%

—

Return, trailing 1 year (backtest)

9.16%

—

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

9.16%

0.00%

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

0.23%

—

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

6.13%

6.14%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.86

—

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

1.07

376.45

Maximum drawdown, backtest period (backtest)

-32.73%

—

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

-19.99%

-0.69%

Sharpe ratio, backtest period (backtest)

1.25

—

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

1.01

7.79

Sortino ratio, backtest period (backtest)

1.93

—

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

1.64

—

Standard deviation, backtest period (backtest)

21.84%

—

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

21.56%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.36

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

2.00%

—

Rebalance frequency

none

daily

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