Side-by-side comparison

Compare investment strategies

Index Futures Trading 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%

60.7%

265.3%Best

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64.9%

1.08

2.34Best

-52.8%

-23.2%Best

Each source uses its own scale

29(Heart Attack Index (Collective2))

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Inception

2023-10-09

2024-07-22

Holdings

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56%

60%Best

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)

old_timers

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Market-relative

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

0.08

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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)

0.80

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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)

0.27

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Returns

Annual return compounded, strategy life (hypothetical model account)

60.70%

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Annualized return since inception (Lighthorse, daily, hypothetical)

43.03%

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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)

7.90%

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Return, 3 months (hypothetical model account)

26.51%

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Return, 6 months (hypothetical model account)

120.46%

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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)

26.19%

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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

3.76

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Average position time

7,173

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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

18.68

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Number of trades

192

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Percent of trades profitable

53.65%

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Profit factor

1.71

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Win:loss ratio

1.71

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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)

-49.27%

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Maximum drawdown, backtest period (backtest)

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-37.25%

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

-49.27%

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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)

-52.80%

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Sharpe ratio since inception (Lighthorse, daily, hypothetical)

0.80

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Sharpe ratio, backtest period (backtest)

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2.83

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

0.62

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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)

1.08

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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)

1.21

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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)

59.19%

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

80.06%

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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

1,099

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Cost & access

Subscription price per month

$75

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Suggested minimum capital

$45k

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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