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Volatility-Scaled S&P with TQQQ and UPRO Boost vs Rising Rates Volatility Switch Risk-Parity Mix

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)

dynamic allocation, leveraged etfs, risk-on/risk-off, treasuries, us equities, volatility targeting

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

-0.04

—

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

2.38

—

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

0.86

—

Trading activity

Annualized turnover, backtest period (backtest)

6.19

—

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

6.60

—

Daily win rate, backtest period (backtest)

55.73%

—

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

56.22%

—

Backtest

Backtest final value (from $10,000)

$1.0M

—

Backtest regulatory fees

$739

—

Backtest slippage cost

$4,853

—

Returns

Backtest length

4,190

—

Out-of-sample length

916

—

Return, backtest period (annualized) (backtest)

32.13%

—

Return, backtest period (cumulative) (backtest)

10k%

—

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

42.06%

3.62%

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

258.79%

2.81%

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

1.50%

—

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

9.89%

0.34%

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

1.77%

—

Return, trailing 1 year (backtest)

23.05%

—

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

23.05%

6.30%

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

2.23%

—

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

7.63%

0.95%

SPY annualized return over the backtest window (backtest)

14.62%

—

Risk metrics

Calmar ratio, backtest period (backtest)

0.75

—

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

0.98

331.36

Maximum drawdown, backtest period (backtest)

-42.87%

—

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

-42.87%

-0.01%

Sharpe ratio, backtest period (backtest)

0.97

—

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

1.06

18.06

Sortino ratio, backtest period (backtest)

1.35

—

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

1.52

—

Standard deviation, backtest period (backtest)

35.37%

—

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

40.97%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.58

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

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