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Leveraged Tech RSI Switcher with KMLM Managed Futures 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)

leveraged tech, managed futures, momentum & mean reversion, risk-on/risk-off, tactical allocation, trend following, volatility hedging

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)

0.05

—

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

1.57

—

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

0.38

—

Trading activity

Annualized turnover, backtest period (backtest)

82.38

—

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

74.97

—

Daily win rate, backtest period (backtest)

58.66%

—

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

53.07%

—

Backtest

Backtest final value (from $10,000)

$16.1M

—

Backtest regulatory fees

$45k

—

Backtest slippage cost

$404k

—

Returns

Backtest length

1,132

—

Out-of-sample length

358

—

Return, backtest period (annualized) (backtest)

416.69%

—

Return, backtest period (cumulative) (backtest)

161k%

—

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

38.44%

3.62%

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

57.71%

2.81%

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

-5.27%

—

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

-6.74%

0.34%

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

-4.35%

—

Return, trailing 1 year (backtest)

43.60%

—

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

36.28%

86.44%

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

-12.89%

—

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

7.66%

0.95%

SPY annualized return over the backtest window (backtest)

14.48%

—

Risk metrics

Calmar ratio, backtest period (backtest)

13.74

—

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

1.56

331.36

Maximum drawdown, backtest period (backtest)

-30.33%

—

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

-24.56%

-0.01%

Sharpe ratio, backtest period (backtest)

3.29

—

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

0.90

18.06

Sortino ratio, backtest period (backtest)

6.08

—

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

1.12

—

Standard deviation, backtest period (backtest)

54.46%

—

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

49.59%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.33

—

Construction

Logic complexity (node count)

1,532

—

Rebalance corridor width

—

9.00%

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