Simons KMLM switcher (single pops)| BT 4/13/22 = A.R. 466% / D.D. 22%
Today’s Change (Mar 17, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A fast-moving, rule-based rotation that switches into UVXY on short-term momentum spikes or rotates into leveraged tech/semiconductor bets, with an extra KMLM-driven long/short rotator as an alternate path. Uses 10-day RSI > 79 signals across multiple tickers and aims for a single, full-position entry rather than periodic rebalancing.
- It continuously screens several ETFs using a 10-day RSI (momentum gauge).
- If RSI(10) of a key Nasdaq/QQQ-like proxy (QQQE) exceeds 79, it buys UVXY with full capital (100%).
- If that first path doesn’t fire, it checks other proxies (VTV, VOX, etc.) in a cascading set of conditions; if any hit, it still routes toward UVXY or other signals as defined, but the structure shows a heavy emphasis on UVXY as a primary hedge/volatility play when momentum is extreme.
- If no UVXY signal is triggered, it pivots into ultra-levered equity bets (TECL, TQQQ, SOXL, SPXL, etc.) on similar momentum checks.
- There is an integrated “KMLM switcher” path that uses KMLM (and related assets like UUP, FTLS, SSO) for a long/short rotator approach, effectively offering an alternate route to tilt exposure between long/short positions.
- The system targets single-shot entries (single pops) and does not rebalance on a fixed schedule; they rely on the occurrence of a signal to switch into the chosen instrument.
- The result is a fast-changing exposure profile, alternating between volatility hedges and high-momentum leveraged bets, with KMLM-based rotation acting as an additional switcher gate.
Out-of-sample edge: Sharpe ~1.45 vs SPY ~1.27; annualized return ~104% vs ~26%; Calmar ~4 vs ~2. Higher upside via UVXY hedges and fast momentum rotations; superior risk-adjusted return despite larger drawdowns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.64 | 1.6 | 0.24 | 0.49 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 18.5% | 17.96% | -1.77% | 0.2% | 0.97 | |
| 114.58% | 110.19% | 2.61% | 3.68% | 1.51 |
Initial Investment
$10,000.00
Final Value
$21,457.64Regulatory Fees
$46.62
Total Slippage
$279.53
Invest in this strategy
OOS Start Date
Jul 18, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Rotational etf strategy; rsi-based momentum; uvxy volatility hedge; leveraged tech/semiconductor bets; kmlm managed futures filter; fast-switching allocation
Tickers in this symphonyThis symphony trades 20 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
FNGU
MicroSectors FANG+ 3x Leveraged ETNs due February 17, 2045
Stocks
FTLS
First Trust Long/Short Equity ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
QQQE
Direxion Shares ETF Trust Direxion NASDAQ-100 Equal Weighted Index ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks