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Leveraged Top-2/3 Trend Rotation with Tech/KMLM Tilt 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)

daily rebalanced, leveraged etfs, long/short, managed futures, momentum, risk management, tactical allocation, trend following

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)

0.30

—

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

2.33

—

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

0.60

—

Trading activity

Annualized turnover, backtest period (backtest)

50.53

—

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

45.41

—

Daily win rate, backtest period (backtest)

55.43%

—

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

52.33%

—

Backtest

Backtest final value (from $10,000)

$4.6M

—

Backtest regulatory fees

$8,202

—

Backtest slippage cost

$68k

—

Returns

Backtest length

1,465

—

Out-of-sample length

193

—

Return, backtest period (annualized) (backtest)

187.04%

—

Return, backtest period (cumulative) (backtest)

46k%

—

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

76.20%

3.62%

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

52.59%

2.81%

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

0.03%

—

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

3.81%

0.34%

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

-1.21%

—

Return, trailing 1 year (backtest)

49.03%

—

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

0.00%

86.44%

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

-5.61%

—

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

-1.76%

0.95%

SPY annualized return over the backtest window (backtest)

14.91%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.77

—

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

2.90

331.36

Maximum drawdown, backtest period (backtest)

-39.17%

—

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

-26.24%

-0.01%

Sharpe ratio, backtest period (backtest)

2.52

—

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

1.37

18.06

Sortino ratio, backtest period (backtest)

4.30

—

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

1.84

—

Standard deviation, backtest period (backtest)

46.09%

—

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

51.38%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.52

—

Construction

Logic complexity (node count)

218

—

Rebalance corridor width

—

9.00%

Rebalance frequency

daily

none

Popularity

Remixes (copies)

124

—

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