Composer · investment strategy
by Composer Technologies · via Composer
A daily ETF rotation with four states: buy 3× semis on sharp selloffs; move to a defensive long/short when tech gets jumpy; buy a fear fund when commodities run hot; otherwise flip between 3× South Korea and gold. High risk; relies on leveraged ETFs.
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 Aggressive risk 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.
Daily, it checks four things, in order:<br>1) If the S&P 500’s 2‑day strength score (RSI, 0–100) is under 11, buy SOXL (3× semiconductors) to play a rebound.<br>2) Else if the Nasdaq‑100 got very jumpy, switch to BTAL (defensive long/short).<br>3) Else if commodities look overheated (high RSI), buy VIXY (benefits when fear jumps).<br>4) Otherwise choose KORU (3× South Korea) if tech’s score is weaker than bonds’ score from two days ago; else hold SGOL (gold). Rebalanced daily.
A daily ETF rotation with four states: buy 3× semis on sharp selloffs; move to a defensive long/short when tech gets jumpy; buy a fear fund when commodities run hot; otherwise flip between 3× South Korea and gold. High risk; relies on leveraged ETFs.
Out-of-sample edge: Sharpe ~3.25 vs SPY ~1.0; Calmar ~20.9; outsized annualized return (~131%) in 38 backtest days. Drawdown ~6.3% vs SPY ~2.5%. A high-octane, leveraged rotation with strong risk-adjusted upside.
Four-state ETF rotation. State 1: 2-day RSI on SPY below 11 -> SOXL (3x semiconductors), the oversold bounce. State 2: 10-day return stdev on QQQ above 3 -> BTAL (anti-beta long/short), a volatility-spike defense. State 3: 10-day RSI on USCI (broad commodities) above 70 -> VIXY (short-term VIX futures). State 4 (the resting state): 10-day RSI on QQQ below 10-day RSI on USIG shifted +2 -> KORU (3x South Korea), otherwise SGOL (physical gold). Rebalanced daily. Every holding is an ETF. Backtest 2014-06-01 to 2026-08-31 on adjusted closes: 187.0% CAGR, 38.5% max drawdown, Sharpe 1.98, Sortino 2.36, longest stretch underwater 0.7 years - the shortest of any candidate screened. Before 2019-09, which is out of sample for the search that produced this: 65.1% CAGR, 38.5% drawdown, Sharpe 1.28, against QQQ at 16% and Sharpe 0.95. Occupancy and contribution: SGOL 47.8% of days but only 3.3% of the return; KORU 29.8% of days and 46.7% of the return; SOXL 10.2% / 32.8%; VIXY 10.7% / 16.3%; BTAL 1.6% / 0.8%. KNOWN RISKS. (1) KORU supplies nearly half the return yet buy-and-holds to x0.88 over this window with a 96% drawdown, and its median daily dollar volume is about $12M - this caps deployable capital and the backtest charges nothing for the spread. (2) The condition that selects KORU is an RSI comparison against USIG, an investment-grade corporate bond ETF; RSI on a low-volatility credit fund is a signal to treat with suspicion. (3) The top 10 days supply 49% of the out-of-sample return. (4) VIXY buy-and-holds to x0.0005 and carries roll costs a close-only backtest does not see. Source: STRAT-ga-g268-232-32568185, 21 nodes, depth 9. No transaction costs modelled.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | commodities signal, daily rebalanced, etf rotation, gold, high risk, leveraged etfs, momentum and mean‑reversion, volatility hedge | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 131.39% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 9.04% | ||
| Return, trailing 1 month (out-of-sample) | 9.11% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 0.00% |
| Calmar ratio, out-of-sample period (out-of-sample) | 20.88 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -6.29% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 3.25 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 28.06% |
Composer Technologies · Composer
Composer Technologies · Composer
