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Volatility-Filtered US Stocks with 2x S&P and Bitcoin Sleeve vs D-Fence Trend Switch: SPY or T-Bills with Hedges

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)

crypto tilt, leveraged equity, risk-on/risk-off, t-bills, tactical allocation, u.s. stocks, volatility filter

bonds, defensive, inverse-hedge, managed futures, risk-on/off, t-bills, tactical, trend-following

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)

1.09

—

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

0.88

—

Trading activity

Annualized turnover, backtest period (backtest)

5.19

—

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

5.77

—

Daily win rate, backtest period (backtest)

55.11%

—

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

54.63%

—

Backtest

Backtest final value (from $10,000)

$20k

—

Backtest regulatory fees

$30

—

Backtest slippage cost

$59

—

Returns

Backtest length

831

—

Out-of-sample length

659

—

Return, backtest period (annualized) (backtest)

23.67%

—

Return, backtest period (cumulative) (backtest)

101.64%

—

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

20.99%

40.01%

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

63.95%

2.98%

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

-1.55%

—

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

3.10%

2.98%

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

-2.14%

—

Return, trailing 1 year (backtest)

15.10%

—

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

15.27%

0.00%

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

-1.60%

—

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

4.75%

2.82%

SPY annualized return over the backtest window (backtest)

20.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.92

—

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

0.82

28.47

Maximum drawdown, backtest period (backtest)

-25.70%

—

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

-25.69%

-1.41%

Sharpe ratio, backtest period (backtest)

1.21

—

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

1.07

3.57

Sortino ratio, backtest period (backtest)

1.73

—

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

1.43

—

Standard deviation, backtest period (backtest)

19.02%

—

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

19.58%

10.03%

Quality

Community review status

ACTIVE

—

Holdings

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

0.42

—

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