Side-by-side comparison

Compare investment strategies

Transports RSI Risk Switch with KMLM Cross-Check 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)

leveraged etfs, managed futures, mean-reversion, momentum, multi-asset, risk-on/risk-off, tech/semis focus, trend-following, volatility hedging

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)

-0.01

—

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

1.70

—

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

0.65

—

Trading activity

Annualized turnover, backtest period (backtest)

60.11

—

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

53.72

—

Daily win rate, backtest period (backtest)

56.66%

—

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

51.83%

—

Backtest

Backtest final value (from $10,000)

$2.0M

—

Backtest regulatory fees

$5,917

—

Backtest slippage cost

$48k

—

Returns

Backtest length

1,456

—

Out-of-sample length

328

—

Return, backtest period (annualized) (backtest)

150.53%

—

Return, backtest period (cumulative) (backtest)

20k%

—

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

29.52%

3.62%

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

39.31%

2.81%

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

-0.17%

—

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

-0.19%

0.34%

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

-0.30%

—

Return, trailing 1 year (backtest)

22.79%

—

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

24.59%

6.30%

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

1.50%

—

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

-6.42%

0.95%

SPY annualized return over the backtest window (backtest)

14.83%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.32

—

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

1.43

331.36

Maximum drawdown, backtest period (backtest)

-20.57%

—

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

-20.57%

-0.01%

Sharpe ratio, backtest period (backtest)

2.86

—

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

0.96

18.06

Sortino ratio, backtest period (backtest)

5.50

—

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

1.52

—

Standard deviation, backtest period (backtest)

34.18%

—

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

32.21%

0.20%

Quality

Community review status

ACTIVE

—

Holdings

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

0.25

—

Construction

Logic complexity (node count)

1,096

—

Rebalance corridor width

—

5.00%

Rebalance frequency

daily

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