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Vol-y Wolly Three-Check: 2x Nasdaq, Short Vol, Defense 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)

defensive rotation, leveraged etfs, mean-reversion, momentum, regime-switching, vix hedging, volatility

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)

0.02

—

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

0.98

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

24.39

—

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

26.27

—

Daily win rate, backtest period (backtest)

57.27%

—

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

56.13%

—

Backtest

Backtest final value (from $10,000)

$2.3M

—

Backtest regulatory fees

$5,754

—

Backtest slippage cost

$44k

—

Returns

Backtest length

3,775

—

Out-of-sample length

864

—

Return, backtest period (annualized) (backtest)

43.72%

—

Return, backtest period (cumulative) (backtest)

23k%

—

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

22.71%

67.14%

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

101.85%

4.80%

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

0.42%

—

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

0.11%

4.80%

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

0.36%

—

Return, trailing 1 year (backtest)

2.62%

—

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

2.62%

0.00%

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

0.23%

—

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

6.13%

0.00%

SPY annualized return over the backtest window (backtest)

15.79%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.51

—

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

1.28

53.07

Maximum drawdown, backtest period (backtest)

-29.01%

—

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

-17.70%

-1.27%

Sharpe ratio, backtest period (backtest)

1.59

—

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

1.05

4.69

Sortino ratio, backtest period (backtest)

2.76

—

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

1.72

—

Standard deviation, backtest period (backtest)

24.63%

—

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

21.74%

11.60%

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%

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