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WAMmer Time Two-Sleeve Bull/Bear 3x Rotation vs VIXM Volatility Scaling Hedge with SHV Cash

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 rebalance, leveraged etfs, momentum and mean reversion, risk-on/risk-off, tactical rotation

risk management, tactical allocation, treasuries, vix futures, volatility hedge

Asset classes / instruments

equities

Market-relative

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

0.60

—

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

1.72

—

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

0.33

—

Trading activity

Annualized turnover, backtest period (backtest)

144.49

—

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

137.95

—

Daily win rate, backtest period (backtest)

56.40%

—

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

52.70%

—

Backtest

Backtest final value (from $10,000)

$36.5M

—

Backtest regulatory fees

$169k

—

Backtest slippage cost

$1.6M

—

Returns

Backtest length

1,110

—

Out-of-sample length

685

—

Return, backtest period (annualized) (backtest)

542.81%

—

Return, backtest period (cumulative) (backtest)

365k%

—

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

90.66%

3.45%

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

479.34%

0.13%

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

-1.94%

—

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

15.54%

0.00%

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

4.10%

—

Return, trailing 1 year (backtest)

149.95%

—

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

149.66%

0.00%

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

11.31%

—

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

27.20%

0.00%

SPY annualized return over the backtest window (backtest)

17.16%

—

Risk metrics

Calmar ratio, backtest period (backtest)

9.30

—

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

1.55

128.91

Maximum drawdown, backtest period (backtest)

-58.36%

—

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

-58.38%

-0.03%

Sharpe ratio, backtest period (backtest)

2.68

—

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

1.19

10.69

Sortino ratio, backtest period (backtest)

4.62

—

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

1.91

—

Standard deviation, backtest period (backtest)

81.75%

—

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

80.90%

0.35%

Quality

Community review status

ACTIVE

—

Holdings

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

0.88

—

Construction

Logic complexity (node count)

154

—

Rebalance corridor width

—

10.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

137

—

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