Composer · investment strategy
by Composer Technologies · via Composer
A simple daily trend switch: when SPY is above its 200‑day average, hold an equal‑weight basket of U.S. stocks (plus SFY); otherwise sit in BIL (T‑bills). Designed to ride uptrends and step aside in downtrends.
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 Fundamental research label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
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 it checks if SPY (an ETF of the S&P 500) is above its 200‑day average price (the average of the last ~200 trading days).<br>If yes, it splits money equally across a preset basket of U.S. stocks plus SFY (broad market ETF).<br>If not, it moves everything to BIL (T‑bill ETF).<br>The basket leans tech/software, fintech, industrials, energy, and healthcare.
A simple daily trend switch: when SPY is above its 200‑day average, hold an equal‑weight basket of U.S. stocks (plus SFY); otherwise sit in BIL (T‑bills). Designed to ride uptrends and step aside in downtrends.
Out-of-sample annualized return 20.39% vs SPY 16.72%, Calmar 2.54, Sharpe ~0.99. A rule-based trend switch captures uptrends while shifting to cash in downtrends, delivering higher upside with disciplined risk control.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | 200-day moving average, equal-weight, risk-on/risk-off, tactical allocation, trend-following, us equities | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 20.39% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 5.44% | ||
| Return, trailing 1 month (out-of-sample) | -0.30% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 4.58% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.54 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -8.04% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.99 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 21.36% |
Collective2
Quantbase · Surmount
