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TQQQ Trend Switcher with KMLM Managed Futures Filter 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)

bonds, leveraged etfs, managed futures, tactical allocation, tech/nasdaq focus, trend + mean reversion, 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)

0.29

—

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

1.75

—

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

0.54

—

Trading activity

Annualized turnover, backtest period (backtest)

52.83

—

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

47.65

—

Daily win rate, backtest period (backtest)

53.24%

—

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

51.85%

—

Backtest

Backtest final value (from $10,000)

$5.8M

—

Backtest regulatory fees

$12k

—

Backtest slippage cost

$106k

—

Returns

Backtest length

1,450

—

Out-of-sample length

513

—

Return, backtest period (annualized) (backtest)

201.81%

—

Return, backtest period (cumulative) (backtest)

58k%

—

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

59.59%

67.14%

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

159.47%

4.80%

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

-0.43%

—

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

-4.37%

4.80%

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

-0.15%

—

Return, trailing 1 year (backtest)

15.84%

—

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

15.82%

0.00%

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

-0.63%

—

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

33.62%

0.00%

SPY annualized return over the backtest window (backtest)

15.21%

—

Risk metrics

Calmar ratio, backtest period (backtest)

5.37

—

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

1.78

53.07

Maximum drawdown, backtest period (backtest)

-37.55%

—

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

-33.49%

-1.27%

Sharpe ratio, backtest period (backtest)

2.30

—

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

1.13

4.69

Sortino ratio, backtest period (backtest)

4.03

—

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

1.92

—

Standard deviation, backtest period (backtest)

54.33%

—

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

53.37%

11.60%

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%

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