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RSI Scale-In Tech Dip Buying with Tax-Aware Lower Leverage vs Leveraged Tech Trend with KMLM Diversifier (Wash Sale)

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)

cash-parking treasuries, leveraged-signal/low-leverage execution, no k-1, no uvxy, rsi dip-buying, s&p 500, semiconductors, tax-aware, tech-heavy

leveraged etfs, managed futures, risk-on/risk-off, tactical allocation, tax-loss harvesting, trend-following, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.07

—

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

0.62

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

11.22

—

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

10.18

—

Daily win rate, backtest period (backtest)

56.85%

—

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

65.46%

—

Backtest

Backtest final value (from $10,000)

$27k

—

Backtest regulatory fees

$32

—

Backtest slippage cost

$229

—

Returns

Backtest length

1,606

—

Out-of-sample length

692

—

Return, backtest period (annualized) (backtest)

16.75%

—

Return, backtest period (cumulative) (backtest)

168.46%

—

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

19.45%

1.06%

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

62.36%

0.11%

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

-1.01%

—

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

0.38%

-0.13%

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

0.59%

—

Return, trailing 1 year (backtest)

20.08%

—

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

19.49%

55.89%

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

0.67%

—

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

5.27%

15.05%

SPY annualized return over the backtest window (backtest)

17.30%

—

Risk metrics

Calmar ratio, backtest period (backtest)

1.34

—

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

1.55

0.24

Maximum drawdown, backtest period (backtest)

-12.54%

—

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

-12.54%

-4.46%

Sharpe ratio, backtest period (backtest)

1.21

—

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

1.08

0.15

Sortino ratio, backtest period (backtest)

2.54

—

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

2.41

—

Standard deviation, backtest period (backtest)

13.51%

—

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

17.80%

18.78%

Quality

Community review status

ACTIVE

—

Holdings

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

0.96

—

Construction

Logic complexity (node count)

146

—

Rebalance corridor width

10.00%

—

Rebalance frequency

none

daily

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