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Volatility Index Black Swan Catcher with 3x Semis 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)

bonds, leveraged etfs, market timing, mean-reversion, momentum, risk-on/risk-off, semiconductors, tactical, technology, 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)

0.20

—

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

1.99

—

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

0.67

—

Trading activity

Annualized turnover, backtest period (backtest)

57.63

—

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

57.14

—

Daily win rate, backtest period (backtest)

53.43%

—

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

52.46%

—

Backtest

Backtest final value (from $10,000)

$177k

—

Backtest regulatory fees

$489

—

Backtest slippage cost

$3,584

—

Returns

Backtest length

1,136

—

Out-of-sample length

957

—

Return, backtest period (annualized) (backtest)

89.12%

—

Return, backtest period (cumulative) (backtest)

1672%

—

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

65.15%

67.14%

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

573.34%

4.80%

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

-0.02%

—

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

1.78%

4.80%

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

-0.33%

—

Return, trailing 1 year (backtest)

69.64%

—

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

69.65%

0.00%

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

1.68%

—

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

6.26%

0.00%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.95

—

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

1.42

53.07

Maximum drawdown, backtest period (backtest)

-45.78%

—

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

-45.78%

-1.27%

Sharpe ratio, backtest period (backtest)

1.65

—

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

1.34

4.69

Sortino ratio, backtest period (backtest)

2.87

—

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

2.31

—

Standard deviation, backtest period (backtest)

44.56%

—

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

44.52%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.52

—

Construction

Logic complexity (node count)

1,064

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

130

—

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