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VIXn Regime Switch: T-Bills, 3x Growth or Hedged Pairs vs ERX, Refiners and Gold Miners Inverse-Volatility Mix

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)

commodities, gold, leveraged tech/healthcare, long/short treasuries, t-bills, us dollar, volatility-timed multi-asset

commodities, energy, gold miners, inverse-vol weighting, leveraged etfs, oil refiners, risk-balanced

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)

1.13

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

53.86

—

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

54.55

—

Daily win rate, backtest period (backtest)

56.48%

—

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

55.66%

—

Backtest

Backtest final value (from $10,000)

$2.1M

—

Backtest regulatory fees

$11k

—

Backtest slippage cost

$85k

—

Returns

Backtest length

3,755

—

Out-of-sample length

927

—

Return, backtest period (annualized) (backtest)

43.19%

—

Return, backtest period (cumulative) (backtest)

21k%

—

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

21.79%

138.64%

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

106.68%

3.87%

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

1.79%

—

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

3.52%

8.12%

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

0.86%

—

Return, trailing 1 year (backtest)

34.09%

—

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

34.09%

0.00%

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

0.65%

—

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

11.48%

0.00%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.25

—

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

0.63

51.98

Maximum drawdown, backtest period (backtest)

-34.69%

—

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

-34.69%

-2.67%

Sharpe ratio, backtest period (backtest)

1.37

—

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

0.91

4.29

Sortino ratio, backtest period (backtest)

1.96

—

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

1.29

—

Standard deviation, backtest period (backtest)

29.35%

—

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

25.23%

22.88%

Quality

Community review status

ACTIVE

—

Holdings

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

0.46

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

Rebalance frequency

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