Composer · investment strategy
by Composer Technologies · via Composer
A daily bond‑fund rotation that buys the single fund with the lowest 14‑day RSI (the most oversold) among six municipal/MBS/investment‑grade closed‑end funds, aiming for short‑term rebounds.
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 Fixed income 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 looks at six bond funds (closed‑end funds): 4 hold municipal bonds (NAN, MMU, PMM, EVN), one holds mortgage‑backed bonds (BKT), and one holds investment‑grade bonds (VBF). It computes a 14‑day RSI (a 0–100 read on how fast price fell/rose). It buys the one with the lowest RSI (most recently sold‑off), holds it until the next day, then repeats.
A daily bond‑fund rotation that buys the single fund with the lowest 14‑day RSI (the most oversold) among six municipal/MBS/investment‑grade closed‑end funds, aiming for short‑term rebounds.
Daily bond-CEF rotation targeting the lowest RSI offers ~8.5% OOS annualized return with ~0.84 Sharpe and 0.82 Calmar, plus beta ~0.34—lower-correlation ballast to the S&P 500 and sensible drawdowns.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | bonds, closed-end funds, daily rebalance, mean reversion, municipal bonds, rsi, tactical rotation | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 8.47% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 6.88% | ||
| Return, trailing 1 month (out-of-sample) | -1.13% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | -5.17% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.82 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -10.39% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.84 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 10.36% |
Composer Technologies · Composer
Composer Technologies · Composer
