Side-by-side comparison

Compare investment strategies

3x Tech Trend, Black Swan Catcher, KMLM Switch vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

daily rebalance, leveraged etfs, managed futures, mean reversion, tactical allocation, trend-following, volatility hedging

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

-0.07

—

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

2.45

—

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

0.64

—

Trading activity

Annualized turnover, backtest period (backtest)

84.22

—

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

78.51

—

Daily win rate, backtest period (backtest)

55.12%

—

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

53.49%

—

Backtest

Backtest final value (from $10,000)

$2.2M

—

Backtest regulatory fees

$9,142

—

Backtest slippage cost

$74k

—

Returns

Backtest length

1,132

—

Out-of-sample length

415

—

Return, backtest period (annualized) (backtest)

233.25%

—

Return, backtest period (cumulative) (backtest)

22k%

—

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

25.04%

261.52%

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

43.84%

6.85%

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

3.30%

—

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

3.01%

1.95%

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

-6.86%

—

Return, trailing 1 year (backtest)

0.52%

—

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

7.89%

0.00%

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

-12.58%

—

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

-0.21%

6.14%

SPY annualized return over the backtest window (backtest)

14.48%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.44

—

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

0.62

376.45

Maximum drawdown, backtest period (backtest)

-52.49%

—

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

-40.53%

-0.69%

Sharpe ratio, backtest period (backtest)

2.24

—

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

0.65

7.79

Sortino ratio, backtest period (backtest)

4.18

—

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

0.93

—

Standard deviation, backtest period (backtest)

61.96%

—

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

65.97%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.47

—

Construction

Logic complexity (node count)

2,569

—

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