Simons KMLM switcher (single pops)| BT 4/13/22 = A.R. 466% / D.D. 22% V2
Today’s Change (Aug 23, 2026)
—
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 stats show superior risk-adjusted returns vs the S&P 500 (Sharpe ~2.07 vs 1.07; Calmar ~9.56) and an outsized ~300% annualized return vs ~18% for SPY, driven by disciplined volatility timing and event-driven rotations.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 2.25 | 0.73 | 0.03 | 0.16 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 83.01% | 14.95% | 2.33% | 3.36% | 0.9 | |
| 743,968.36% | 680.97% | 48.78% | 65.83% | 3.02 |
Initial Investment
$10,000.00
Final Value
$74,406,836.19Regulatory Fees
$98,847.17
Total Slippage
$934,849.17
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