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S&P Trend and KMLM Gauge 3x Tech Rotation vs Domestic Leveraged Sector Trend Rotation

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 tilt, leveraged etfs, mean-reversion, momentum, tactical rotation, trend-following, volatility hedge

crypto proxy, leveraged etfs, risk-on/risk-off, sector rotation, tactical allocation, trend-following, volatility hedging

Asset classes / instruments

equities

Market-relative

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

0.03

—

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

2.68

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

76.57

—

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

67.46

—

Daily win rate, backtest period (backtest)

54.12%

—

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

53.16%

—

Backtest

Backtest final value (from $10,000)

$14.1M

—

Backtest regulatory fees

$54k

—

Backtest slippage cost

$488k

—

Returns

Backtest length

1,456

—

Out-of-sample length

538

—

Return, backtest period (annualized) (backtest)

250.67%

—

Return, backtest period (cumulative) (backtest)

141k%

—

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

22.76%

67.14%

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

54.29%

4.80%

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

-9.19%

—

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

11.16%

4.80%

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

-4.51%

—

Return, trailing 1 year (backtest)

0.43%

—

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

-6.54%

0.00%

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

-11.02%

—

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

30.85%

0.00%

SPY annualized return over the backtest window (backtest)

14.83%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.37

—

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

0.40

53.07

Maximum drawdown, backtest period (backtest)

-57.41%

—

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

-57.42%

-1.27%

Sharpe ratio, backtest period (backtest)

2.11

—

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

0.67

4.69

Sortino ratio, backtest period (backtest)

3.41

—

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

0.86

—

Standard deviation, backtest period (backtest)

72.00%

—

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

80.85%

11.60%

Quality

Community review status

ACTIVE

—

Holdings

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

0.97

—

Construction

Logic complexity (node count)

—

Rebalance corridor width

10.00%

1.00%

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