Composer · investment strategy
by Composer Technologies · via Composer
Rules-based crude‑oil sleeve that buys aggressive oil on deep dips, buys Brent when global risk is hot, trends with WTI when up, shorts tactically when momentum falters, and moves to T‑Bills when conditions are poor. 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 Leveraged ETFs 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.
Daily crude‑oil strategy rotating among long oil (UCO/BNO/DBO), short oil (SCO), or T‑Bills (BIL). Order: 1) Oversold: if UCO’s RSI is extremely low on 10/14/20‑day windows, buy UCO (2× long). 2) Risk‑on: if emerging‑markets stocks (EEM) have very high RSI, buy BNO (Brent). 3) Trend: if DBO > 130‑day average, hold DBO when 8‑day EMA > 65‑day avg, else SCO; if not, hold BIL. RSI=0–100 heat meter; moving average=trend; EMA=faster avg.
Rules-based crude‑oil sleeve that buys aggressive oil on deep dips, buys Brent when global risk is hot, trends with WTI when up, shorts tactically when momentum falters, and moves to T‑Bills when conditions are poor. Rebalanced daily.
Diversified oil sleeve with regime hedging: negative stock beta (~-0.92) and risk-off moves to T-Bills. Daily rotations seek oil upside via mean reversion and trend. Out-of-sample: ~17.3% annualized return, a distinct risk profile from the S&P.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | commodities, crude oil, daily rebalance, leveraged etfs, mean reversion, risk-on/off, tactical rotation, trend following | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 17.28% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 23.06% | ||
| Return, trailing 1 month (out-of-sample) | -1.35% | ||
| Return, trailing 1 year (out-of-sample) | 39.06% | ||
| Return, trailing 3 months (out-of-sample) | -26.72% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.43 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -39.77% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.61 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 38.64% |
Composer Technologies · Composer
Composer Technologies · Composer
