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KMLM Benchmark Gate: SOXL/TECL or T-Bills vs Better Than a CD: Tech Trend with T-Bill Defense

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)

cash/t‑bills, leveraged etfs, managed futures signal, momentum, semiconductors, tactical allocation, technology

bonds/gold, inverse/short, leveraged etfs, mean reversion, sector rotation, tactical asset allocation, trend-following, volatility hedged

Asset classes / instruments

equities

Market-relative

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

0.17

—

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

3.30

—

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

0.58

—

Trading activity

Annualized turnover, backtest period (backtest)

46.12

—

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

60.54

—

Daily win rate, backtest period (backtest)

54.76%

—

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

59.03%

—

Backtest

Backtest final value (from $10,000)

$961k

—

Backtest regulatory fees

$1,897

—

Backtest slippage cost

$16k

—

Returns

Backtest length

1,459

—

Out-of-sample length

537

—

Return, backtest period (annualized) (backtest)

119.89%

—

Return, backtest period (cumulative) (backtest)

9508%

—

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

38.62%

4.85%

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

100.80%

4.53%

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

0.02%

—

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

-4.19%

0.38%

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

-8.24%

—

Return, trailing 1 year (backtest)

21.89%

—

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

21.88%

6.30%

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

-8.52%

—

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

-3.01%

1.75%

SPY annualized return over the backtest window (backtest)

15.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.03

—

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

0.65

9.16

Maximum drawdown, backtest period (backtest)

-59.01%

—

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

-59.01%

-0.53%

Sharpe ratio, backtest period (backtest)

1.40

—

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

0.82

3.47

Sortino ratio, backtest period (backtest)

2.20

—

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

1.19

—

Standard deviation, backtest period (backtest)

77.96%

—

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

93.06%

1.37%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

—

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