Composer · investment strategy
by Composer Technologies · via Composer
A simple monthly “Dual Momentum” plan using three ETFs: SPY (U.S. stocks), VEU (stocks outside the U.S.), and BIL (T‑Bills). Own the stronger stock market only when U.S. stocks beat cash; otherwise sit in 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.
2 positions as of 2026-10-19
: 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.
2.9% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-07-31)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 35% · 2026-10-19 ()
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% · 2026-10-19 ()
0 of 3 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 International equities label, from other sources first, strongest risk-adjusted return first.
Collective2
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.
4 missing
The text the rules are quoted from, with where it came from.
Each month, look back 12 months. If U.S. stocks (SPY, S&P 500) did better than very short‑term U.S. Treasury bills (BIL), stay in stocks; then own whichever did better: U.S. (SPY) or non‑U.S. stocks (VEU, outside the U.S.). If SPY lost to BIL, hold BIL. One fund at a time. SPY/VEU are broad, low‑cost stock funds; BIL is a cash‑like T‑Bill fund.
A simple monthly “Dual Momentum” plan using three ETFs: SPY (U.S. stocks), VEU (stocks outside the U.S.), and BIL (T‑Bills). Own the stronger stock market only when U.S. stocks beat cash; otherwise sit in BIL.
Simple, rules-based Dual Momentum that rotates between US stocks, ex-US stocks, and cash. It guards against major drawdowns by exiting to cash when SPY lags, then invests in the stronger market. Out-of-sample: ~19.2% annualized return, Calmar ~1.31.
https://indexswingtrader.blogspot.com/2016/10/prospecting-dual-momentum-with-gem.html
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $45k | 2026-10-19 | |
| Backtest regulatory fees | $14 | 2026-10-19 | |
| Backtest slippage cost | $119 | 2026-10-19 |
| AI categories (Composer) | dual momentum, global equities, monthly rotation, risk management, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 9 | 2026-10-19 | |
| Rebalance frequency | monthly |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 1 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "BIL", "SPY", "VEU" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | -0.02 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.04 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.91 | 2026-10-19 |
| Remixes (copies) | 2 | 2026-10-19 | |
| Watchers | 4 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 4,626 | 2026-10-19 | |
| Out-of-sample length | 410 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 8.59% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 354.42% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 19.24% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 32.68% | ||
| Return, trailing 1 day (out-of-sample) | -0.56% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | -2.78% | ||
| Return, trailing 1 week (out-of-sample) | -1.36% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 16.56% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 18.66% | ||
| Return, trailing 2 weeks (out-of-sample) | -2.99% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | -0.19% | ||
| SPY annualized return over the backtest window (backtest) | 11.73% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.25 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.31 | ||
| Maximum drawdown, backtest period (backtest) | -33.72% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -14.71% | ||
| Sharpe ratio, backtest period (backtest) | 0.61 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.00 | ||
| Sortino ratio, backtest period (backtest) | 0.85 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.40 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 15.35% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 19.62% |
| Annualized turnover, backtest period (backtest) | 1.69 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 1.84 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 53.31% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.61% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
