Composer · investment strategy
by Composer Technologies · via Composer
Own a basket of CAN SLIM–style small/mid-cap growth stocks only when the US market (SPY) is above its 200‑day average; otherwise sit in short‑term T‑bills (BIL). Equal-weight, checked and rebalanced daily.
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.
Daily, it checks if the S&P 500 fund (SPY) is in an uptrend: is SPY above its average price over the last ~200 trading days? If yes, it splits money equally across a list of small/mid‑cap growth stocks chosen by a CAN SLIM scanner. If not, it moves all cash to BIL, a short‑term T‑bill ETF. Rebalances daily.
Own a basket of CAN SLIM–style small/mid-cap growth stocks only when the US market (SPY) is above its 200‑day average; otherwise sit in short‑term T‑bills (BIL). Equal-weight, checked and rebalanced daily.
Rule-based growth sleeve with risk discipline. When SPY is up, own a diversified CAN SLIM basket; when SPY is down, hold cash (BIL). OOS: 12.6% annual return vs SPY 18.9%, Calmar 0.76. A disciplined, transparent SPY complement.
Stocks selected by TrendSpider scanner using CANSLIM.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | can slim, equal-weight, market timing, risk-on/risk-off, small/mid-cap growth, trend-following, us equities | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 12.60% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 12.49% | ||
| Return, trailing 1 month (out-of-sample) | -1.83% | ||
| Return, trailing 1 year (out-of-sample) | 12.49% | ||
| Return, trailing 3 months (out-of-sample) | -6.22% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.76 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -16.63% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.63 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 23.07% |
Collective2
Quantbase · Surmount
