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Volatility Catcher Sleeve with SOXL Dip Buys 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)

daily rebalanced, equities + cash, leveraged etfs, risk-on/risk-off, tactical volatility timing

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)

-0.03

—

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

1.44

—

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

0.50

—

Trading activity

Annualized turnover, backtest period (backtest)

2.01

—

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

1.99

—

Daily win rate, backtest period (backtest)

46.75%

—

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

77.31%

—

Backtest

Backtest final value (from $10,000)

$140k

—

Backtest regulatory fees

$31

—

Backtest slippage cost

$190

—

Returns

Backtest length

3,754

—

Out-of-sample length

379

—

Return, backtest period (annualized) (backtest)

19.39%

—

Return, backtest period (cumulative) (backtest)

1303%

—

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

40.32%

3.62%

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

66.67%

2.81%

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

0.04%

—

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

0.34%

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

0.09%

—

Return, trailing 1 year (backtest)

-4.07%

—

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

-4.07%

86.44%

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

0.17%

—

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

0.95%

SPY annualized return over the backtest window (backtest)

15.12%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.91

—

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

5.39

331.36

Maximum drawdown, backtest period (backtest)

-10.18%

—

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

-7.48%

-0.01%

Sharpe ratio, backtest period (backtest)

0.87

—

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

0.91

18.06

Sortino ratio, backtest period (backtest)

5.21

—

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

6.86

—

Standard deviation, backtest period (backtest)

22.96%

—

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

45.77%

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

—

9.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

117

—

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