Simons KMLM switcher (single pops)| BT 4/13/22 = A.R. 466% / D.D. 22% V2
Today’s Change (Oct 8, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A high‑octane, event‑driven switcher: fade overheated markets with UVXY (long volatility), buy the dip in leveraged equity ETFs when they’re washed out, otherwise rotate based on Tech vs KMLM strength into risk‑on (TECL/SOXL/SVIX) or defensive (SQQQ/TLT).
How it worksIt watches a short‑term “heat meter” (RSI, 0–100). Above ~80 = very hot; below ~30 = very cold.
• If many stock/sector funds look very hot, it buys UVXY (a fund that jumps when markets drop).
• If leveraged stock funds look very cold, it buys them for a bounce (TECL, SOXL, SPXL, LABU).
• If nothing is extreme, it compares Tech vs KMLM (a managed‑futures fund). If Tech is stronger, it buys the 2 weakest of TECL/SOXL/SVIX; otherwise it picks SQQQ or TLT, whichever is stronger.
Value propOut-of-sample edge: Sharpe 1.98 vs SPY 1.08; Calmar 8.38; alpha ~1.34. A dynamic, event-driven rotation aiming for materially higher risk-adjusted upside than the S&P 500, with disciplined risk management across volatility regimes.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 2.18 | 0.73 | 0.03 | 0.16 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 86.22% | 14.94% | 1.72% | 4.21% | 0.9 | |
| 715,288.7% | 630.16% | 7.99% | 42.82% | 2.95 |
Initial Investment
$10,000.00
Final Value
$71,538,870.17Regulatory Fees
$112,127.83
Total Slippage
$1,058,815.01
Invest in this strategy
OOS Start Date
Jul 22, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical, momentum, mean‑reversion, volatility timing, leveraged etfs, managed futures, risk‑on/risk‑off, event‑driven