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Highly Diversified Meta Strategy with KMLM and Hedges vs Oil, Gas, Semis and Treasuries Short-Term Pair 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/inverse etfs, momentum + mean reversion, risk‑on/risk‑off, tactical multi‑strategy, trend following, volatility hedging

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)

0.05

—

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

1.96

—

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

0.79

—

Trading activity

Annualized turnover, backtest period (backtest)

58.03

—

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

56.65

—

Daily win rate, backtest period (backtest)

55.96%

—

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

53.35%

—

Backtest

Backtest final value (from $10,000)

$128k

—

Backtest regulatory fees

$386

—

Backtest slippage cost

$3,061

—

Returns

Backtest length

1,006

—

Out-of-sample length

523

—

Return, backtest period (annualized) (backtest)

89.31%

—

Return, backtest period (cumulative) (backtest)

1181%

—

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

42.60%

261.52%

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

109.17%

6.85%

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

0.67%

—

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

5.98%

1.95%

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

-0.40%

—

Return, trailing 1 year (backtest)

12.53%

—

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

12.53%

0.00%

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

0.84%

—

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

7.90%

6.14%

SPY annualized return over the backtest window (backtest)

21.46%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.82

—

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

1.35

376.45

Maximum drawdown, backtest period (backtest)

-31.65%

—

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

-31.65%

-0.69%

Sharpe ratio, backtest period (backtest)

1.93

—

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

1.07

7.79

Sortino ratio, backtest period (backtest)

3.25

—

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

1.78

—

Standard deviation, backtest period (backtest)

36.49%

—

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

40.57%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.19

—

Construction

Logic complexity (node count)

964

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

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