Composer · investment strategy
by Composer Technologies · via Composer
Daily trend filter: if the S&P 500 is in an uptrend, own a tech‑ and healthcare‑heavy basket of 10 large stocks sized by recent steadiness; if not, sit in short‑term T‑bills (BIL) to limit drawdowns.
Description from Composer
of the return and risk figures:as the source publishes them
What $10,000 would have become, from the strategy's own published history, against the S&P 500 over the same dates. The basis is labelled.
This strategy doesn’t publish a performance history we can chart.
Each rule is quoted word for word from the strategy's own documents.
No rules extracted from this strategy’s text yet.
No published holdings for this strategy.
Compares the stated rules with the holdings (or, where none are published, a mix estimated from returns), using tests fixed before any results were seen.
No holdings on file, so nothing to test.
Strategies that share its Capital preservation label, from other sources first, strongest risk-adjusted return first.
Composer Technologies · Composer
Composer Technologies · Composer
How much of what we look for this strategy has, and why anything is missing. Fields that don't apply to it aren't counted.
6 missing
The text the rules are quoted from, with where it came from.
Each day: 1) If SPY (an S&P 500 fund) is above its 200‑day average price—a long‑term trend line—go “risk‑on.” 2) Risk‑on: own 10 large stocks (Meta, Google, Micron, GM, AstraZeneca, Applied Materials, Centene, Gilead, Bristol‑Myers, Molina), giving steadier names bigger weights based on ~50 days of moves. 3) Otherwise hold BIL (short‑term T‑bills). Rebalances daily.
Daily trend filter: if the S&P 500 is in an uptrend, own a tech‑ and healthcare‑heavy basket of 10 large stocks sized by recent steadiness; if not, sit in short‑term T‑bills (BIL) to limit drawdowns.
Out-of-sample edge: Sharpe ~1.09, Calmar ~2.04, beta ~0.66, max drawdown ~8.1%. Raw return trails SPY (16.6% vs 24.6%), but risk is tighter via risk-on/off switching, inverse-vol weights, and BIL in downturns—strong risk‑adjusted diversification.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | 200-day ma, daily rebalance, inverse-vol weighting, t-bills, tactical equities, trend-following | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 16.56% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 10.22% | ||
| Return, trailing 1 month (out-of-sample) | 2.28% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 1.45% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.04 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -8.10% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.09 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 15.27% |
Composer Technologies · Composer
Composer Technologies · Composer
