Side-by-side comparison

Compare investment strategies

KMLM Sorter Added-Back Nova Variant vs Domestic Leveraged Sector Trend 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 etfs, managed futures, momentum/mean-reversion, regime filters, tactical allocation, volatility trading

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.62

—

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

1.46

—

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

0.27

—

Trading activity

Annualized turnover, backtest period (backtest)

114.33

—

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

114.33

—

Daily win rate, backtest period (backtest)

53.46%

—

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

53.46%

—

Backtest

Backtest final value (from $10,000)

$32k

—

Backtest regulatory fees

$92

—

Backtest slippage cost

$701

—

Returns

Backtest length

376

—

Out-of-sample length

376

—

Return, backtest period (annualized) (backtest)

118.33%

—

Return, backtest period (cumulative) (backtest)

221.61%

—

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

118.37%

67.14%

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

221.69%

4.80%

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

-1.28%

—

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

-2.69%

4.80%

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

-7.30%

—

Return, trailing 1 year (backtest)

99.88%

—

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

99.91%

0.00%

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

-3.14%

—

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

59.60%

0.00%

SPY annualized return over the backtest window (backtest)

31.64%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.67

—

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

2.67

53.07

Maximum drawdown, backtest period (backtest)

-44.26%

—

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

-44.26%

-1.27%

Sharpe ratio, backtest period (backtest)

1.46

—

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

1.46

4.69

Sortino ratio, backtest period (backtest)

2.29

—

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

2.29

—

Standard deviation, backtest period (backtest)

70.58%

—

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

70.58%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.92

—

Construction

Logic complexity (node count)

1,057

—

Rebalance corridor width

10.00%

1.00%

Rebalance frequency

none

Popularity

Remixes (copies)

114

—

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