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Leveraged Tech Trend with KMLM 20-Day Diversifier Flip 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 etfs, managed futures, multi-asset momentum, risk-on/risk-off, rsi-based, tactical allocation, trend-following, volatility hedge

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)

0.04

—

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

0.89

—

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

0.53

—

Trading activity

Annualized turnover, backtest period (backtest)

47.52

—

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

48.67

—

Daily win rate, backtest period (backtest)

58.24%

—

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

49.25%

—

Backtest

Backtest final value (from $10,000)

$465k

—

Backtest regulatory fees

$1,339

—

Backtest slippage cost

$11k

—

Returns

Backtest length

1,456

—

Out-of-sample length

400

—

Return, backtest period (annualized) (backtest)

94.24%

—

Return, backtest period (cumulative) (backtest)

4546%

—

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

23.20%

3.62%

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

38.69%

2.81%

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

-1.84%

—

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

0.38%

0.34%

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

-1.64%

—

Return, trailing 1 year (backtest)

20.25%

—

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

24.89%

86.44%

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

-0.51%

—

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

16.74%

0.95%

SPY annualized return over the backtest window (backtest)

14.83%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.86

—

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

1.20

331.36

Maximum drawdown, backtest period (backtest)

-19.38%

—

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

-19.38%

-0.01%

Sharpe ratio, backtest period (backtest)

3.15

—

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

0.87

18.06

Sortino ratio, backtest period (backtest)

6.71

—

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

1.58

—

Standard deviation, backtest period (backtest)

21.82%

—

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

28.53%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.17

—

Construction

Logic complexity (node count)

382

—

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