Composer · investment strategy
by Composer Technologies · via Composer
A daily trend-following core: when the S&P 500 is in an uptrend, own cash‑rich U.S. stocks (COWZ) plus gold and managed futures; otherwise shift to managed futures, long‑term Treasuries (TLT), and T‑bills (BIL).
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 Multi-asset 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 it checks a simple trend on SPY (the S&P 500 ETF): is the 50‑day average price above the 200‑day average? If yes (uptrend), hold 40% COWZ (U.S. companies that generate lots of free cash), 30% DBMF (managed‑futures fund that can go long/short), 30% GLD (gold). If not, hold 40% DBMF, 30% TLT (long‑term U.S. Treasuries), 30% BIL (T‑bills/cash). It rebalances to these weights daily.
A daily trend-following core: when the S&P 500 is in an uptrend, own cash‑rich U.S. stocks (COWZ) plus gold and managed futures; otherwise shift to managed futures, long‑term Treasuries (TLT), and T‑bills (BIL).
Sentinel Core delivers higher risk-adjusted gains than the S&P 500: OOS annualized return ~23% vs ~21%, Sharpe ~1.78 vs ~1.63, Calmar ~2.30. A simple trend rule plus gold, managed futures, and Treasuries captures upside while controlling risk (max drawdown ~10% vs 8.9% SPY).
(Created with Composer AI)
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | cash, gold, managed futures, risk-on/risk-off, tactical asset allocation, treasuries, trend-following, value equities | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 23.05% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 29.91% | ||
| Return, trailing 1 month (out-of-sample) | -0.10% | ||
| Return, trailing 1 year (out-of-sample) | 18.84% | ||
| Return, trailing 3 months (out-of-sample) | 6.34% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.30 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -10.04% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.78 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 12.12% |
Composer Technologies · Composer
Composer Technologies · Composer
