Side-by-side comparison

Compare investment strategies

KMLM Switcher with Managed Futures, Shorts and Hedges vs Oil, Gas, Semis and Treasuries Short-Term Pair 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)

inverse etfs, leveraged etfs, managed futures, momentum, risk-on/off switching, tactical rotation, trend-following, volatility hedging

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)

1.36

—

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

0.71

—

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

0.15

—

Trading activity

Annualized turnover, backtest period (backtest)

98.47

—

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

98.89

—

Daily win rate, backtest period (backtest)

57.02%

—

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

52.53%

—

Backtest

Backtest final value (from $10,000)

$29.4M

—

Backtest regulatory fees

$66k

—

Backtest slippage cost

$613k

—

Returns

Backtest length

1,126

—

Out-of-sample length

158

—

Return, backtest period (annualized) (backtest)

496.17%

—

Return, backtest period (cumulative) (backtest)

293k%

—

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

265.30%

261.52%

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

126.47%

6.85%

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

-8.76%

—

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

-2.09%

1.95%

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

-11.59%

—

Return, trailing 1 year (backtest)

78.12%

—

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

0.00%

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

-8.66%

—

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

11.07%

6.14%

SPY annualized return over the backtest window (backtest)

14.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

13.32

—

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

11.45

376.45

Maximum drawdown, backtest period (backtest)

-37.25%

—

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

-23.18%

-0.69%

Sharpe ratio, backtest period (backtest)

2.83

—

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

2.34

7.79

Sortino ratio, backtest period (backtest)

5.11

—

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

3.65

—

Standard deviation, backtest period (backtest)

72.21%

—

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

64.90%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

—

Construction

Logic complexity (node count)

6,431

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

234

—

Watchers

111

—

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