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KMLM Trend Switcher with RSI Buy/Sell Rules vs Macro-Filtered Short-Term Momentum with Mean Reversion

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)

mean‑reversion & trend, nasdaq 100, regime filter (kmlm), rsi, s&p 500, semiconductors, tactical leveraged etfs, tech

daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.74

—

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

2.14

—

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

0.49

—

Trading activity

Annualized turnover, backtest period (backtest)

43.23

—

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

42.47

—

Daily win rate, backtest period (backtest)

56.44%

—

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

54.55%

—

Backtest

Backtest final value (from $10,000)

$217k

—

Backtest regulatory fees

$259

—

Backtest slippage cost

$2,070

—

Returns

Backtest length

613

—

Out-of-sample length

539

—

Return, backtest period (annualized) (backtest)

253.51%

—

Return, backtest period (cumulative) (backtest)

2069%

—

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

144.93%

76.55%

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

581.81%

3.91%

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

-1.43%

—

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

-12.82%

0.00%

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

-3.13%

—

Return, trailing 1 year (backtest)

99.13%

—

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

99.14%

0.00%

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

-4.03%

—

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

35.71%

0.00%

SPY annualized return over the backtest window (backtest)

21.18%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.32

—

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

4.18

180.23

Maximum drawdown, backtest period (backtest)

-34.66%

—

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

-34.66%

-0.42%

Sharpe ratio, backtest period (backtest)

2.14

—

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

1.59

9.00

Sortino ratio, backtest period (backtest)

3.91

—

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

2.82

—

Standard deviation, backtest period (backtest)

70.03%

—

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

71.36%

6.75%

Quality

Community review status

ACTIVE

—

Holdings

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

0.36

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

Popularity

Remixes (copies)

109

—

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