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Leveraged Tech Regime Switch with KMLM and Bitcoin vs Rising Rates Volatility Switch Risk-Parity Mix

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)

crypto tilt, leveraged etfs, mean reversion, quant, regime switching, tactical allocation, trend/momentum, volatility hedging

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.76

—

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

-0.30

—

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

-0.10

—

Trading activity

Annualized turnover, backtest period (backtest)

71.55

—

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

70.54

—

Daily win rate, backtest period (backtest)

58.51%

—

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

57.78%

—

Backtest

Backtest final value (from $10,000)

$3.2M

—

Backtest regulatory fees

$7,516

—

Backtest slippage cost

$59k

—

Returns

Backtest length

1,058

—

Out-of-sample length

—

Return, backtest period (annualized) (backtest)

295.38%

—

Return, backtest period (cumulative) (backtest)

32k%

—

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

128.03%

3.62%

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

32.05%

2.81%

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

0.96%

—

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

0.15%

0.34%

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

-1.21%

—

Return, trailing 1 year (backtest)

49.85%

—

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

0.00%

6.30%

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

-7.40%

—

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

24.24%

0.95%

SPY annualized return over the backtest window (backtest)

17.56%

—

Risk metrics

Calmar ratio, backtest period (backtest)

16.56

—

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

15.42

331.36

Maximum drawdown, backtest period (backtest)

-17.84%

—

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

-8.30%

-0.01%

Sharpe ratio, backtest period (backtest)

3.71

—

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

2.48

18.06

Sortino ratio, backtest period (backtest)

7.56

—

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

3.06

—

Standard deviation, backtest period (backtest)

39.17%

—

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

36.25%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.26

—

Construction

Logic complexity (node count)

6,255

—

Rebalance corridor width

—

5.00%

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