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Heat-Check T-Bill Parking with Trend and KMLM Sleeves 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)

cross-asset signals, leveraged etfs, managed futures, momentum, regime switching, risk-on/risk-off, trend-following, 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)

0.05

—

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

1.94

—

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

0.55

—

Trading activity

Annualized turnover, backtest period (backtest)

52.88

—

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

43.37

—

Daily win rate, backtest period (backtest)

54.20%

—

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

52.94%

—

Backtest

Backtest final value (from $10,000)

$15.1M

—

Backtest regulatory fees

$25k

—

Backtest slippage cost

$220k

—

Returns

Backtest length

1,465

—

Out-of-sample length

1,465

—

Return, backtest period (annualized) (backtest)

251.82%

—

Return, backtest period (cumulative) (backtest)

151k%

—

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

41.52%

67.14%

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

54.99%

4.80%

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

0.03%

—

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

3.43%

4.80%

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

-0.84%

—

Return, trailing 1 year (backtest)

41.21%

—

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

29.95%

0.00%

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

-7.47%

—

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

6.95%

0.00%

SPY annualized return over the backtest window (backtest)

14.91%

—

Risk metrics

Calmar ratio, backtest period (backtest)

10.27

—

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

1.69

53.07

Maximum drawdown, backtest period (backtest)

-24.53%

—

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

-24.53%

-1.27%

Sharpe ratio, backtest period (backtest)

2.78

—

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

1.02

4.69

Sortino ratio, backtest period (backtest)

5.11

—

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

1.35

—

Standard deviation, backtest period (backtest)

49.77%

—

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

43.79%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.62

—

Construction

Logic complexity (node count)

157

—

Rebalance corridor width

—

1.00%

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