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K Wave Semiconductor 3x Fade of Big Moves vs 50/50 Hedged Rotation and TQQQ Dip-Buy

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)

hedged, leveraged etfs, mean reversion, semiconductors, tactical, trend filter, volatility regime

leveraged etfs, macro regime, mean-reversion, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.33

—

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

1.55

—

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

0.27

—

Trading activity

Annualized turnover, backtest period (backtest)

162.03

—

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

164.63

—

Daily win rate, backtest period (backtest)

54.60%

—

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

52.08%

—

Backtest

Backtest final value (from $10,000)

$239.8M

—

Backtest regulatory fees

$3.0M

—

Backtest slippage cost

$28.5M

—

Returns

Backtest length

3,696

—

Out-of-sample length

985

—

Return, backtest period (annualized) (backtest)

98.86%

—

Return, backtest period (cumulative) (backtest)

2398k%

—

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

31.63%

3.62%

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

193.05%

2.81%

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

-1.94%

—

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

-11.71%

0.34%

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

-12.94%

—

Return, trailing 1 year (backtest)

-28.25%

—

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

-28.27%

86.44%

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

-10.54%

—

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

-21.32%

0.95%

SPY annualized return over the backtest window (backtest)

14.85%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.55

—

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

0.50

331.36

Maximum drawdown, backtest period (backtest)

-63.64%

—

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

-63.65%

-0.01%

Sharpe ratio, backtest period (backtest)

1.34

—

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

0.74

18.06

Sortino ratio, backtest period (backtest)

2.14

—

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

1.14

—

Standard deviation, backtest period (backtest)

68.95%

—

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

88.47%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.71

—

Construction

Logic complexity (node count)

349

—

Rebalance corridor width

10.00%

9.00%

Rebalance frequency

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