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Golden Ratio Front Runner with KMLM Regime 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)

leveraged/inverse etfs, risk-on/risk-off, tactical allocation, trend-following, volatility timing

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)

0.22

—

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

0.80

—

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

0.34

—

Trading activity

Annualized turnover, backtest period (backtest)

68.53

—

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

64.55

—

Daily win rate, backtest period (backtest)

58.63%

—

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

50.90%

—

Backtest

Backtest final value (from $10,000)

$2.2M

—

Backtest regulatory fees

$6,779

—

Backtest slippage cost

$53k

—

Returns

Backtest length

1,136

—

Out-of-sample length

389

—

Return, backtest period (annualized) (backtest)

230.96%

—

Return, backtest period (cumulative) (backtest)

22k%

—

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

38.34%

261.52%

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

65.25%

6.85%

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

1.08%

—

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

2.75%

1.95%

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

-0.34%

—

Return, trailing 1 year (backtest)

32.78%

—

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

32.77%

0.00%

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

2.24%

—

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

27.27%

6.14%

SPY annualized return over the backtest window (backtest)

13.95%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.61

—

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

1.10

376.45

Maximum drawdown, backtest period (backtest)

-34.92%

—

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

-34.92%

-0.69%

Sharpe ratio, backtest period (backtest)

3.68

—

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

1.01

7.79

Sortino ratio, backtest period (backtest)

7.40

—

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

1.80

—

Standard deviation, backtest period (backtest)

34.14%

—

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

39.74%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

502

—

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