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Tech/KMLM Risk Switch with Inflation-Filtered EM Flip vs Bond and Defensive Signals Gate for TQQQ

Every published figureShow 42 attributes

Each row is one exact variant (window and basis), so a value appears only where a source publishes it.

Classification

AI categories (Composer)

emerging markets, leveraged & inverse etfs, managed futures, relative strength, risk-on/risk-off, tactical allocation, trend-following

bond signals, daily rebalance, defensive factor, leveraged etf, nasdaq-100, risk-on/off, tactical momentum, trend following

Asset classes / instruments

equities

Market-relative

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

0.10

—

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

0.81

—

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

0.55

—

Trading activity

Annualized turnover, backtest period (backtest)

43.39

—

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

43.10

—

Daily win rate, backtest period (backtest)

57.20%

—

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

52.36%

—

Backtest

Backtest final value (from $10,000)

$298k

—

Backtest regulatory fees

$793

—

Backtest slippage cost

$5,679

—

Returns

Backtest length

1,264

—

Out-of-sample length

445

—

Return, backtest period (annualized) (backtest)

96.66%

—

Return, backtest period (cumulative) (backtest)

2882%

—

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

28.20%

207.42%

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

54.30%

17.40%

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

-3.78%

—

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

0.02%

17.20%

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

-5.90%

—

Return, trailing 1 year (backtest)

33.02%

—

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

49.68%

0.00%

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

-5.81%

—

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

14.55%

0.00%

SPY annualized return over the backtest window (backtest)

13.55%

—

Risk metrics

Calmar ratio, backtest period (backtest)

2.84

—

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

0.83

43.28

Maximum drawdown, backtest period (backtest)

-34.00%

—

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

-34.00%

-4.79%

Sharpe ratio, backtest period (backtest)

2.84

—

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

1.14

3.80

Sortino ratio, backtest period (backtest)

4.80

—

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

1.36

—

Standard deviation, backtest period (backtest)

24.95%

—

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

24.58%

31.69%

Quality

Community review status

ACTIVE

—

Holdings

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

0.29

—

Construction

Logic complexity (node count)

—

Rebalance frequency

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