Composer · investment strategy
by Composer Technologies · via Composer
A daily, 15‑sleeve blend that only buys 3× S&P 500 (UPRO) when the S&P 500 is calm and its recent strength score (RSI) is lower than Treasuries (SHY); otherwise it stays in SHY. Equal‑weighted sleeves diversify timeframes and volatility cutoffs.
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.
1 positions as of 2026-10-11
: the platform's backtest holdings, not a client account.
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.
0.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-05-31)
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100% · 2026-10-11 ()
0.0% of weight in (SPY: 0%)
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100% · 2026-10-11 ()
1 of 3 funds in its are : UPRO
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100%
Strategies that share its Conservative risk label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
Quantbase
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.
4 missing
The text the rules are quoted from, with where it came from.
What it holds: UPRO (a fund aiming for 3× the S&P 500’s daily move) or SHY (short‑term US Treasuries). SPY is the non‑levered S&P 500 tracker it measures.<br>Each day, 15 mini‑rules run. For each: if SPY’s recent daily swings (14–42 days) are below 1%, 1.5% or 2%, compare momentum using RSI (a score of recent up vs down days; higher = stronger). If SPY’s RSI is lower than SHY’s, buy UPRO; otherwise hold SHY. If volatility isn’t low, hold SHY. All 15 sleeves are equal‑weighted, so you can end up partly in each.
A daily, 15‑sleeve blend that only buys 3× S&P 500 (UPRO) when the S&P 500 is calm and its recent strength score (RSI) is lower than Treasuries (SHY); otherwise it stays in SHY. Equal‑weighted sleeves diversify timeframes and volatility cutoffs.
Out-of-sample: annualized return ~38.7% vs SPY ~21.3%, Sharpe ~1.34, Calmar ~1.06 across 15 sleeves. It tilts to UPRO only in calm, RSI-led conditions, delivering higher upside with disciplined risk through diversification.
Backtest to 6/25/2009.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $1.1M | 2026-10-11 | |
| Backtest regulatory fees | $2,104 | 2026-10-11 | |
| Backtest slippage cost | $16k | 2026-10-11 |
| AI categories (Composer) | daily rebalance, leveraged equity vs treasuries, multi-horizon, rsi filter, tactical allocation, volatility filter | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 178 | 2026-10-11 | |
| Rebalance frequency | daily | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.87 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "SHY", "SPY", "UPRO" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.08 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.41 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.77 | 2026-10-11 |
| Remixes (copies) | 109 | 2026-10-11 | |
| Watchers | 37 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 4,349 | 2026-10-11 | |
| Out-of-sample length | 936 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 31.25% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 11k% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 38.71% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 237.63% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.05% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | -0.22% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 0.19% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 23.37% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 23.37% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 0.29% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 6.53% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 15.18% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 0.85 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.06 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -36.61% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -36.61% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 1.24 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.34 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 1.80 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.96 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 24.43% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 27.27% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 22.96 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 21.61 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 52.26% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 54.70% | 2026-10-11 |
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