Side-by-side comparison

Compare investment strategies

KMLM Tech-vs-Managed-Futures Switcher, Wash-Sale 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)

alternatives, cash timing, leveraged etfs, managed futures, mean reversion, momentum, risk-on/risk-off, tactical allocation

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)

0.31

—

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

1.55

—

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

0.71

—

Trading activity

Annualized turnover, backtest period (backtest)

98.56

—

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

92.71

—

Daily win rate, backtest period (backtest)

57.72%

—

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

56.41%

—

Backtest

Backtest final value (from $10,000)

$316k

—

Backtest regulatory fees

$1,119

—

Backtest slippage cost

$8,947

—

Returns

Backtest length

1,147

—

Out-of-sample length

523

—

Return, backtest period (annualized) (backtest)

113.40%

—

Return, backtest period (cumulative) (backtest)

3060%

—

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

74.52%

67.14%

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

218.35%

4.80%

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

-0.22%

—

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

2.31%

4.80%

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

-2.37%

—

Return, trailing 1 year (backtest)

66.70%

—

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

66.70%

0.00%

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

0.92%

—

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

11.84%

0.00%

SPY annualized return over the backtest window (backtest)

15.74%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.30

—

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

5.12

53.07

Maximum drawdown, backtest period (backtest)

-15.54%

—

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

-14.57%

-1.27%

Sharpe ratio, backtest period (backtest)

2.39

—

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

1.75

4.69

Sortino ratio, backtest period (backtest)

4.19

—

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

2.91

—

Standard deviation, backtest period (backtest)

34.12%

—

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

35.43%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.72

—

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