Composer · investment strategy
by Composer Technologies · via Composer
A cautious, rules‑based switcher: it only buys the S&P 500 (SPY) when markets are calm and SPY looks poised to rebound vs short‑term Treasuries; otherwise it parks in a safety blend of U.S. dollar (UUP), gold (GLD), and consumer‑staples (XLP).
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.
4 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 2026-06-30)
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 ()
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. : 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.
Each day it splits your money across 15 rules. For each rule it asks: has the S&P 500 fund (SPY) been calm (low volatility) over the last 14–42 days? If not, it holds a safety mix: UUP (U.S. dollar), GLD (gold), XLP (consumer‑staples stocks). If calm, it compares a recent‑strength score (RSI: higher = more recent gains) for SPY vs SHY (short‑term Treasuries). If SPY looks weaker, it buys SPY (buy‑the‑dip); otherwise it stays in the safety mix. All 15 are averaged.
A cautious, rules‑based switcher: it only buys the S&P 500 (SPY) when markets are calm and SPY looks poised to rebound vs short‑term Treasuries; otherwise it parks in a safety blend of U.S. dollar (UUP), gold (GLD), and consumer‑staples (XLP).
Out-of-sample, it delivers superior risk-adjusted performance: Sharpe 1.72 vs SPY 1.38, drawdown 14.8% vs 18.8%, raw return ~19.1% vs 21.3%. It offers steadier upside with a diversified safety ballast.
Backtest to 2/20/2007
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $83k | 2026-10-11 | |
| Backtest regulatory fees | $396 | 2026-10-11 | |
| Backtest slippage cost | $2,442 | 2026-10-11 |
| AI categories (Composer) | defensive rotation, etf strategy, multi-timeframe, rsi/momentum, tactical asset allocation, volatility filter | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 298 | 2026-10-11 | |
| Rebalance frequency | daily | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.57 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "GLD", "SHY", "SPY", "UUP", "XLP" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.07 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.55 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.78 | 2026-10-11 |
| Remixes (copies) | 19 | 2026-10-11 | |
| Watchers | 12 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 4,941 | 2026-10-11 | |
| Out-of-sample length | 936 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 11.37% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 726.24% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 19.05% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 91.25% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.57% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | 0.06% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 1.74% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 9.31% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 9.32% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 0.30% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 3.55% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 10.93% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 0.65 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.29 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -17.58% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -14.78% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 1.06 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.72 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 1.52 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.57 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 10.70% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 10.49% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 21.89 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 21.61 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 54.10% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.45% | 2026-10-11 |
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