Composer · investment strategy
by Composer Technologies · via Composer
Blends AI momentum and value ETFs, but when the market or Tech get extremely hot (RSI>80), it temporarily flips those sleeves into VXX, a volatility note that often rises when stocks stumble.
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.
0 of 5 funds in its are
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 80%
Strategies that share its AI / ML-driven label, from other sources first, strongest risk-adjusted return first.
Collective2
Collective2
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.
5 missing
The text the rules are quoted from, with where it came from.
Default: 60% in AMOM (AI-picked large U.S. momentum stocks) + 40% in ECML (value-priced U.S. stocks). A 10-day “hotness” score (RSI, 0–100; >80 = very hot) is checked on SPY (broad market) and XLK (Tech). If SPY >80, that 60% moves to VXX (tends to jump when stocks fall). If XLK >80, the 40% moves to VXX. Both can trigger. No set rebalance; shifts happen on signals or ~4% drift.
Blends AI momentum and value ETFs, but when the market or Tech get extremely hot (RSI>80), it temporarily flips those sleeves into VXX, a volatility note that often rises when stocks stumble.
Comparable to the S&P 500 in annualized return (~18%), with a diversified momentum-value tilt and RSI-triggered hedges to VXX for volatility spikes. Strong risk-adjusted profile (OOS Calmar ~0.71) and two-way exposure across market regimes.
BT: 05/18/23
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | momentum + value, rsi timing, tactical etf allocation, u.s. equities, volatility hedge | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 11 | 2026-10-18 | |
| Rebalance corridor width | 4.00% | ||
| Rebalance frequency | none |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.52 | 2026-10-18 | |
| Ticker universe (assets the logic can hold) | show[ "AMOM", "ECML", "SPY", "VXX", "XLK" ] | 2026-10-18 |
| Alpha vs SPY, out-of-sample (out-of-sample) | -0.03 | 2026-10-18 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.12 | 2026-10-18 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.87 | 2026-10-18 |
| Remixes (copies) | 2 | 2026-10-18 | |
| Watchers | 2 | 2026-10-18 |
| Community review status | REJECTED | 2026-10-18 |
| Return, out-of-sample period (annualized) (out-of-sample) | 18.06% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 42.54% | ||
| Return, trailing 1 day (out-of-sample) | -2.29% | 2026-10-18 | |
| Return, trailing 1 month (out-of-sample) | 2.56% | ||
| Return, trailing 1 week (out-of-sample) | -6.25% | 2026-10-18 | |
| Return, trailing 1 year (out-of-sample) | 26.65% | ||
| Return, trailing 2 weeks (out-of-sample) | -5.53% | 2026-10-18 | |
| Return, trailing 3 months (out-of-sample) | 5.07% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.71 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -25.38% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.90 | ||
| Sortino ratio, out-of-sample period (out-of-sample) | 1.07 | 2026-10-18 | |
| Standard deviation, out-of-sample period (out-of-sample) | 20.83% |
| Annualized turnover, out-of-sample period (out-of-sample) | 5.61 | 2026-10-18 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.90% | 2026-10-18 |
Collective2
Composer Technologies · Composer
