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Chom66x Beethoven Tech/Crypto Trend with KMLM Filter 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)

leveraged etfs, momentum & mean reversion, regime switching, tech/financials/commodities, volatility hedging

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)

3.37

—

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

1.98

—

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

0.18

—

Trading activity

Annualized turnover, backtest period (backtest)

77.14

—

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

89.67

—

Daily win rate, backtest period (backtest)

57.75%

—

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

55.21%

—

Backtest

Backtest final value (from $10,000)

$178k

—

Backtest regulatory fees

$164

—

Backtest slippage cost

$1,232

—

Returns

Backtest length

258

—

Out-of-sample length

163

—

Return, backtest period (annualized) (backtest)

1551%

—

Return, backtest period (cumulative) (backtest)

1685%

—

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

1468%

67.14%

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

499.70%

4.80%

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

-8.92%

—

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

6.06%

4.80%

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

2.94%

—

Return, trailing 1 year (backtest)

1527%

—

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

0.00%

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

-2.45%

—

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

205.45%

0.00%

SPY annualized return over the backtest window (backtest)

17.60%

—

Risk metrics

Calmar ratio, backtest period (backtest)

27.75

—

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

26.26

53.07

Maximum drawdown, backtest period (backtest)

-55.90%

—

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

-55.90%

-1.27%

Sharpe ratio, backtest period (backtest)

2.72

—

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

2.63

4.69

Sortino ratio, backtest period (backtest)

4.39

—

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

4.41

—

Standard deviation, backtest period (backtest)

139.74%

—

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

145.19%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.87

—

Construction

Logic complexity (node count)

434

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

436

—

Watchers

202

—

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