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Three-Sleeve Tech Growth, KMLM and EM Risk Switch vs Rising Rates Volatility Switch Risk-Parity Mix

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)

emerging markets, hedging, leveraged/inverse etfs, managed futures, momentum, risk-on/off, tactical allocation, volatility targeting

financials, gold, leveraged etfs, multi-asset, risk parity, risk-on/risk-off, tactical, tech, treasuries, u.s. dollar, volatility targeting

Asset classes / instruments

equities

Market-relative

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

0.13

—

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

0.66

—

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

0.47

—

Trading activity

Annualized turnover, backtest period (backtest)

44.64

—

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

45.75

—

Daily win rate, backtest period (backtest)

59.72%

—

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

53.90%

—

Backtest

Backtest final value (from $10,000)

$170k

—

Backtest regulatory fees

$446

—

Backtest slippage cost

$3,349

—

Returns

Backtest length

1,132

—

Out-of-sample length

397

—

Return, backtest period (annualized) (backtest)

87.90%

—

Return, backtest period (cumulative) (backtest)

1605%

—

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

30.72%

3.62%

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

51.70%

2.81%

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

-0.13%

—

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

1.40%

0.34%

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

-2.30%

—

Return, trailing 1 year (backtest)

18.20%

—

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

23.52%

6.30%

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

-1.40%

—

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

17.82%

0.95%

SPY annualized return over the backtest window (backtest)

14.48%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.06

—

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

2.47

331.36

Maximum drawdown, backtest period (backtest)

-12.44%

—

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

-12.44%

-0.01%

Sharpe ratio, backtest period (backtest)

3.32

—

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

1.24

18.06

Sortino ratio, backtest period (backtest)

7.36

—

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

2.52

—

Standard deviation, backtest period (backtest)

19.60%

—

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

23.80%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.20

—

Construction

Logic complexity (node count)

234

—

Rebalance corridor width

5.00%

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