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KMLM Switcher for TQQQ/TECL with UVXY Hedge 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, mean-reversion, momentum, risk-on/risk-off, tactical allocation, trend-following, volatility hedge

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)

0.64

—

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

0.10

—

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

0.02

—

Trading activity

Annualized turnover, backtest period (backtest)

70.91

—

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

74.75

—

Daily win rate, backtest period (backtest)

56.90%

—

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

51.13%

—

Backtest

Backtest final value (from $10,000)

$569.8M

—

Backtest regulatory fees

$963k

—

Backtest slippage cost

$9.3M

—

Returns

Backtest length

1,450

—

Out-of-sample length

354

—

Return, backtest period (annualized) (backtest)

569.79%

—

Return, backtest period (cumulative) (backtest)

5698k%

—

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

59.95%

67.14%

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

93.79%

4.80%

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

-1.12%

—

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

-9.89%

4.80%

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

-2.09%

—

Return, trailing 1 year (backtest)

69.58%

—

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

69.54%

0.00%

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

-0.36%

—

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

25.05%

0.00%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

16.99

—

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

2.05

53.07

Maximum drawdown, backtest period (backtest)

-33.54%

—

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

-29.26%

-1.27%

Sharpe ratio, backtest period (backtest)

3.07

—

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

1.07

4.69

Sortino ratio, backtest period (backtest)

5.43

—

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

1.62

—

Standard deviation, backtest period (backtest)

69.91%

—

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

62.41%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.98

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

—

1.00%

Rebalance frequency

daily

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