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SMH vs XLK Tech Rotation with KMLM Momentum Check 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, momentum/rsi, relative strength, risk-on/risk-off, tactical rotation, technology

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)

0.60

—

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

1.17

—

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

0.27

—

Trading activity

Annualized turnover, backtest period (backtest)

45.08

—

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

51.43

—

Daily win rate, backtest period (backtest)

54.83%

—

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

53.80%

—

Backtest

Backtest final value (from $10,000)

$5.1M

—

Backtest regulatory fees

$6,806

—

Backtest slippage cost

$63k

—

Returns

Backtest length

1,459

—

Out-of-sample length

539

—

Return, backtest period (annualized) (backtest)

193.00%

—

Return, backtest period (cumulative) (backtest)

51k%

—

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

76.31%

3.62%

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

237.09%

2.81%

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

-1.12%

—

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

-6.79%

0.34%

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

-0.05%

—

Return, trailing 1 year (backtest)

27.01%

—

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

27.01%

86.44%

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

4.99%

—

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

35.47%

0.95%

SPY annualized return over the backtest window (backtest)

15.29%

—

Risk metrics

Calmar ratio, backtest period (backtest)

4.43

—

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

1.75

331.36

Maximum drawdown, backtest period (backtest)

-43.57%

—

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

-43.57%

-0.01%

Sharpe ratio, backtest period (backtest)

1.93

—

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

1.16

18.06

Sortino ratio, backtest period (backtest)

3.06

—

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

1.71

—

Standard deviation, backtest period (backtest)

67.83%

—

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

70.11%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

—

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