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VIX Fade with Leveraged Treasury Base vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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 etfs, mean reversion, regime-switching, rsi timing, semiconductors, tactical, tech, treasuries, volatility

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.17

—

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

2.76

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

82.39

—

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

62.36

—

Daily win rate, backtest period (backtest)

53.24%

—

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

52.04%

—

Backtest

Backtest final value (from $10,000)

$7.7B

—

Backtest regulatory fees

$30.8M

—

Backtest slippage cost

$295.7M

—

Returns

Backtest length

3,762

—

Out-of-sample length

978

—

Return, backtest period (annualized) (backtest)

147.92%

—

Return, backtest period (cumulative) (backtest)

77267k%

—

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

38.93%

3.62%

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

258.76%

2.81%

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

0.13%

—

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

10.98%

0.34%

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

-0.97%

—

Return, trailing 1 year (backtest)

36.31%

—

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

36.27%

86.44%

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

1.31%

—

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

-23.29%

0.95%

SPY annualized return over the backtest window (backtest)

15.09%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.02

—

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

0.53

331.36

Maximum drawdown, backtest period (backtest)

-73.35%

—

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

-73.35%

-0.01%

Sharpe ratio, backtest period (backtest)

1.60

—

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

0.82

18.06

Sortino ratio, backtest period (backtest)

2.53

—

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

1.20

—

Standard deviation, backtest period (backtest)

73.34%

—

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

88.41%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

1.00

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

5.00%

9.00%

Rebalance frequency

none

Popularity

Remixes (copies)

136

—

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