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Vol Harvest: UVXY on Tech Heat, Else Neutral/Short Vol vs Domestic Leveraged Sector Trend 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)

alternatives, leveraged etfs, market-neutral factor, tactical allocation, volatility timing

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.26

—

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

-0.15

—

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

-0.11

—

Trading activity

Annualized turnover, backtest period (backtest)

40.22

—

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

34.89

—

Daily win rate, backtest period (backtest)

54.14%

—

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

52.46%

—

Backtest

Backtest final value (from $10,000)

$508k

—

Backtest regulatory fees

$1,841

—

Backtest slippage cost

$14k

—

Returns

Backtest length

3,770

—

Out-of-sample length

896

—

Return, backtest period (annualized) (backtest)

30.02%

—

Return, backtest period (cumulative) (backtest)

4984%

—

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

22.57%

67.14%

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

106.37%

4.80%

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

-0.42%

—

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

3.16%

4.80%

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

0.80%

—

Return, trailing 1 year (backtest)

8.28%

—

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

8.28%

0.00%

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

1.13%

—

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

12.03%

0.00%

SPY annualized return over the backtest window (backtest)

15.33%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.77

—

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

1.11

53.07

Maximum drawdown, backtest period (backtest)

-38.79%

—

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

-20.26%

-1.27%

Sharpe ratio, backtest period (backtest)

0.97

—

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

1.13

4.69

Sortino ratio, backtest period (backtest)

1.79

—

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

1.78

—

Standard deviation, backtest period (backtest)

31.79%

—

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

19.76%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.54

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

1.00%

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