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VIXY Trend and RSI Gate for 3x S&P 500 vs Bond and Defensive Signals Gate for TQQQ

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)

leveraged etfs, risk-on/risk-off, rsi dip-buy, s&p 500, t-bills, trend-following, us equities, volatility filter

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

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)

1.98

—

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

0.83

—

Trading activity

Annualized turnover, backtest period (backtest)

49.56

—

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

49.18

—

Daily win rate, backtest period (backtest)

48.94%

—

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

54.53%

—

Backtest

Backtest final value (from $10,000)

$2.7M

—

Backtest regulatory fees

$7,053

—

Backtest slippage cost

$62k

—

Returns

Backtest length

3,956

—

Out-of-sample length

497

—

Return, backtest period (annualized) (backtest)

42.90%

—

Return, backtest period (cumulative) (backtest)

27k%

—

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

45.08%

207.42%

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

108.63%

17.40%

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

1.68%

—

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

-0.68%

17.20%

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

3.23%

—

Return, trailing 1 year (backtest)

30.82%

—

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

30.82%

0.00%

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

-0.37%

—

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

-1.75%

0.00%

SPY annualized return over the backtest window (backtest)

14.10%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.83

—

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

1.49

43.28

Maximum drawdown, backtest period (backtest)

-51.68%

—

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

-30.26%

-4.79%

Sharpe ratio, backtest period (backtest)

1.11

—

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

1.14

3.80

Sortino ratio, backtest period (backtest)

1.72

—

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

1.82

—

Standard deviation, backtest period (backtest)

38.83%

—

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

39.59%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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