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K-Switch Tech Rotation with Volatility Kill-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)

daily rotation, defensive hedging, leveraged/short etfs, managed futures, rsi timing, tech tilt, trend-following, volatility spike filter

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)

0.04

—

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

2.29

—

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

0.59

—

Trading activity

Annualized turnover, backtest period (backtest)

65.74

—

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

65.19

—

Daily win rate, backtest period (backtest)

56.79%

—

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

52.12%

—

Backtest

Backtest final value (from $10,000)

$2.7M

—

Backtest regulatory fees

$8,007

—

Backtest slippage cost

$64k

—

Returns

Backtest length

1,127

—

Out-of-sample length

518

—

Return, backtest period (annualized) (backtest)

250.37%

—

Return, backtest period (cumulative) (backtest)

27k%

—

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

31.10%

261.52%

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

74.66%

6.85%

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

-1.66%

—

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

2.16%

1.95%

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

-0.76%

—

Return, trailing 1 year (backtest)

20.85%

—

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

20.81%

0.00%

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

-1.58%

—

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

43.87%

6.14%

SPY annualized return over the backtest window (backtest)

15.24%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.94

—

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

0.86

376.45

Maximum drawdown, backtest period (backtest)

-36.09%

—

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

-36.09%

-0.69%

Sharpe ratio, backtest period (backtest)

2.30

—

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

0.74

7.79

Sortino ratio, backtest period (backtest)

3.87

—

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

1.13

—

Standard deviation, backtest period (backtest)

63.31%

—

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

62.89%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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