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TQQQ/UPRO Rotation with KMLM Check before Full Leverage 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)

leveraged etfs, momentum, relative strength, risk-on/risk-off, tactical allocation, 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)

0.45

—

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

1.06

—

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

0.28

—

Trading activity

Annualized turnover, backtest period (backtest)

40.52

—

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

40.68

—

Daily win rate, backtest period (backtest)

54.80%

—

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

52.69%

—

Backtest

Backtest final value (from $10,000)

$9.9M

—

Backtest regulatory fees

$18k

—

Backtest slippage cost

$165k

—

Returns

Backtest length

1,449

—

Out-of-sample length

539

—

Return, backtest period (annualized) (backtest)

231.78%

—

Return, backtest period (cumulative) (backtest)

99k%

—

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

58.81%

67.14%

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

169.42%

4.80%

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

-1.28%

—

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

-9.99%

4.80%

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

-2.25%

—

Return, trailing 1 year (backtest)

-6.36%

—

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

-6.37%

0.00%

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

-0.52%

—

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

1.21%

0.00%

SPY annualized return over the backtest window (backtest)

15.12%

—

Risk metrics

Calmar ratio, backtest period (backtest)

6.10

—

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

1.55

53.07

Maximum drawdown, backtest period (backtest)

-38.01%

—

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

-38.01%

-1.27%

Sharpe ratio, backtest period (backtest)

2.18

—

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

1.05

4.69

Sortino ratio, backtest period (backtest)

3.64

—

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

1.67

—

Standard deviation, backtest period (backtest)

64.47%

—

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

62.25%

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