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KMLM Switcher with Short-Vol and Managed Futures Fallback 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)

crisis hedging, leveraged etfs, long/short, macro regimes, managed futures, risk-on/risk-off, tactical allocation, trend-following, volatility-driven

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)

0.38

—

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

1.03

—

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

0.32

—

Trading activity

Annualized turnover, backtest period (backtest)

96.54

—

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

96.62

—

Daily win rate, backtest period (backtest)

57.73%

—

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

54.90%

—

Backtest

Backtest final value (from $10,000)

$568k

—

Backtest regulatory fees

$3,807

—

Backtest slippage cost

$28k

—

Returns

Backtest length

1,126

—

Out-of-sample length

643

—

Return, backtest period (annualized) (backtest)

146.72%

—

Return, backtest period (cumulative) (backtest)

5576%

—

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

55.29%

3.62%

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

207.95%

2.81%

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

-0.31%

—

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

-2.36%

0.34%

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

1.98%

—

Return, trailing 1 year (backtest)

-21.27%

—

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

-21.27%

86.44%

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

-2.52%

—

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

-5.62%

0.95%

SPY annualized return over the backtest window (backtest)

14.96%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.94

—

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

1.86

331.36

Maximum drawdown, backtest period (backtest)

-29.68%

—

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

-29.68%

-0.01%

Sharpe ratio, backtest period (backtest)

2.08

—

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

1.11

18.06

Sortino ratio, backtest period (backtest)

3.39

—

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

1.74

—

Standard deviation, backtest period (backtest)

49.27%

—

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

51.20%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.75

—

Construction

Logic complexity (node count)

604

—

Rebalance corridor width

5.00%

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