Side-by-side comparison

Compare investment strategies

Ultimate Frontrunner KMLM Block Rotator vs Oil, Gas, Semis and Treasuries Short-Term Pair Rotation

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)

bonds, commodities, leveraged etfs, managed futures, mean reversion, risk-on/risk-off, tactical allocation, trend following, volatility hedging

commodities (oil, leveraged etfs, multi-asset, nat gas), regime filter, relative strength, risk-on/off, rsi/vol filters, treasuries rotation, trend-following, volatility etps

Asset classes / instruments

equities

Market-relative

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

0.55

—

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

1.36

—

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

0.36

—

Trading activity

Annualized turnover, backtest period (backtest)

78.17

—

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

72.10

—

Daily win rate, backtest period (backtest)

57.45%

—

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

54.50%

—

Backtest

Backtest final value (from $10,000)

$396k

—

Backtest regulatory fees

$1,016

—

Backtest slippage cost

$7,591

—

Returns

Backtest length

745

—

Out-of-sample length

367

—

Return, backtest period (annualized) (backtest)

246.41%

—

Return, backtest period (cumulative) (backtest)

3857%

—

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

120.20%

261.52%

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

216.68%

6.85%

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

-0.30%

—

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

0.72%

1.95%

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

-4.41%

—

Return, trailing 1 year (backtest)

83.87%

—

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

83.87%

0.00%

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

-1.03%

—

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

23.61%

6.14%

SPY annualized return over the backtest window (backtest)

24.06%

—

Risk metrics

Calmar ratio, backtest period (backtest)

7.02

—

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

3.99

376.45

Maximum drawdown, backtest period (backtest)

-35.12%

—

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

-30.10%

-0.69%

Sharpe ratio, backtest period (backtest)

2.37

—

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

1.91

7.79

Sortino ratio, backtest period (backtest)

4.30

—

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

3.16

—

Standard deviation, backtest period (backtest)

59.63%

—

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

47.22%

18.11%

Quality

Community review status

ACTIVE

—

Holdings

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

0.40

—

Construction

Logic complexity (node count)

1,221

—

Rebalance frequency

daily

Popularity

Remixes (copies)

370

—

Watchers

148

—

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