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Nasdaq Trend Rotation with 20-Day KMLM Filter 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)

defensive equities, leveraged etfs, managed futures, mean reversion, tactical rotation, 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)

0.34

—

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

1.71

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

62.42

—

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

57.56

—

Daily win rate, backtest period (backtest)

57.93%

—

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

51.46%

—

Backtest

Backtest final value (from $10,000)

$13.7M

—

Backtest regulatory fees

$31k

—

Backtest slippage cost

$286k

—

Returns

Backtest length

1,450

—

Out-of-sample length

513

—

Return, backtest period (annualized) (backtest)

250.44%

—

Return, backtest period (cumulative) (backtest)

137k%

—

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

67.36%

3.62%

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

185.87%

2.81%

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

-0.95%

—

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

-8.98%

0.34%

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

-0.49%

—

Return, trailing 1 year (backtest)

36.37%

—

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

36.33%

86.44%

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

-1.56%

—

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

6.91%

0.95%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

8.26

—

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

2.22

331.36

Maximum drawdown, backtest period (backtest)

-30.32%

—

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

-30.32%

-0.01%

Sharpe ratio, backtest period (backtest)

2.82

—

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

1.24

18.06

Sortino ratio, backtest period (backtest)

5.09

—

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

2.19

—

Standard deviation, backtest period (backtest)

48.69%

—

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

51.91%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.76

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

9.00%

Rebalance frequency

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