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Compare investment strategies

ES Prodigy S&P 500 Futures Strategy vs KMLM Switcher with Managed Futures, Shorts and Hedges

At a glance

The headline numbers each source publishes, lined up. Hover a number for its exact definition.

These strategies report performance on different (Hypo, OOS). Live and composite results come from real accounts; out-of-sample, hypothetical and model results don't. Compare return and risk with care.

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0.0%

20.9%

265.3%Best

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64.9%

0.70

2.34Best

-30.4%

-23.2%Best

Each source uses its own scale

25(Heart Attack Index (Collective2))

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Inception

2024-01-01

2024-07-22

Holdings

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70%Best

60%

Growth of $10,000

Each line starts at $10,000 on the first date all of them share, using the strategy's own published history. Bases are labelled and never mixed within a line.

ES Prodigy S&P 500 Futures StrategyHypoup 73.7%
S&P 500 ETFup 65.5%

No published history to chart: KMLM Switcher with Managed Futures, Shorts and Hedges.

Every published figureShow 74 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

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inverse etfs, leveraged etfs, managed futures, momentum, risk-on/off switching, tactical rotation, trend-following, volatility hedging

Asset classes / instruments

futures

equities

Leaderboard views (Collective2)

popular

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Market-relative

Alpha vs S&P 500, strategy life (hypothetical model account)

0.02

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

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1.36

Beta vs S&P 500, strategy life (hypothetical model account)

0.81

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

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0.71

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

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0.15

Correlation to S&P 500, strategy life (hypothetical model account)

0.51

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Returns

Annual return compounded, strategy life (hypothetical model account)

20.90%

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Annualized return since inception (Lighthorse, daily, hypothetical)

20.71%

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Backtest length

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1,126

Out-of-sample length

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158

Return, 1 month (hypothetical model account)

6.20%

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Return, 3 months (hypothetical model account)

15.03%

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Return, 6 months (hypothetical model account)

32.30%

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Return, backtest period (annualized) (backtest)

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496.17%

Return, backtest period (cumulative) (backtest)

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293k%

Return, last 365 days (Lighthorse, daily, hypothetical)

24.75%

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

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265.30%

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

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126.47%

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

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-8.76%

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

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-2.09%

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

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-11.59%

Return, trailing 1 year (backtest)

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78.12%

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

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0.00%

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

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-8.66%

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

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11.07%

SPY annualized return over the backtest window (backtest)

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14.96%

Trading activity

Annualized turnover, backtest period (backtest)

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98.47

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

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98.89

Average leverage

2.05

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Average position time

15,634

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Daily win rate, backtest period (backtest)

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57.02%

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

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52.53%

Maximum daily leverage

7.03

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Number of trades

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Percent of trades profitable

65.56%

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Profit factor

1.88

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Win:loss ratio

1.88

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Backtest

Backtest final value (from $10,000)

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$29.4M

Backtest regulatory fees

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$66k

Backtest slippage cost

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$613k

Risk metrics

Calmar ratio, backtest period (backtest)

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13.32

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

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11.45

Maximum drawdown since inception (Lighthorse, daily, hypothetical)

-29.36%

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Maximum drawdown, backtest period (backtest)

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-37.25%

Maximum drawdown, last 365 days (Lighthorse, daily, hypothetical)

-29.36%

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

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-23.18%

Maximum drawdown, strategy life (hypothetical model account)

-30.40%

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Sharpe ratio since inception (Lighthorse, daily, hypothetical)

0.61

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Sharpe ratio, backtest period (backtest)

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2.83

Sharpe ratio, last 365 days (Lighthorse, daily, hypothetical)

0.70

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

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2.34

Sharpe ratio, strategy life (hypothetical model account)

0.70

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Sortino ratio, backtest period (backtest)

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5.11

Sortino ratio, last 365 days (Lighthorse, daily, hypothetical)

1.00

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

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3.65

Sortino ratio, strategy life (hypothetical model account)

0.90

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Standard deviation, backtest period (backtest)

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72.21%

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

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64.90%

Volatility since inception (Lighthorse, daily, hypothetical)

30.77%

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Volatility, last 365 days (Lighthorse, daily, hypothetical)

33.34%

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Quality

Community review status

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ACTIVE

Holdings

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

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Risk score

Heart Attack Index (Collective2)

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Construction

Logic complexity (node count)

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6,431

Rebalance corridor width

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10.00%

Rebalance frequency

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none

Popularity

Remixes (copies)

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234

Watchers

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111

Identity

Strategy age

1,015

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Cost & access

Subscription price per month

$50

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Suggested minimum capital

$90k

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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