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Big Tech Dip Buying with Managed Futures (KMLM) Pivot vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

big tech/semis, daily rebalance, leveraged etfs, managed futures, momentum+mean‑reversion, tactical, volatility hedge

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.46

—

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

0.84

—

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

0.18

—

Trading activity

Annualized turnover, backtest period (backtest)

75.93

—

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

71.35

—

Daily win rate, backtest period (backtest)

57.92%

—

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

53.41%

—

Backtest

Backtest final value (from $10,000)

$194.0M

—

Backtest regulatory fees

$366k

—

Backtest slippage cost

$3.5M

—

Returns

Backtest length

1,459

—

Out-of-sample length

352

—

Return, backtest period (annualized) (backtest)

449.64%

—

Return, backtest period (cumulative) (backtest)

1940k%

—

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

62.34%

3.62%

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

97.13%

2.81%

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

-0.58%

—

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

-7.27%

0.34%

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

-3.96%

—

Return, trailing 1 year (backtest)

48.51%

—

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

48.45%

86.44%

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

-0.73%

—

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

32.58%

0.95%

SPY annualized return over the backtest window (backtest)

15.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

12.30

—

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

1.70

331.36

Maximum drawdown, backtest period (backtest)

-36.57%

—

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

-36.57%

-0.01%

Sharpe ratio, backtest period (backtest)

3.27

—

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

1.15

18.06

Sortino ratio, backtest period (backtest)

5.76

—

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

1.67

—

Standard deviation, backtest period (backtest)

57.20%

—

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

55.68%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.51

—

Construction

Logic complexity (node count)

304

—

Rebalance corridor width

—

9.00%

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