Composer · investment strategy
by Composer Technologies · via Composer
A simple, rules-based trend strategy across five ETFs. Each month, hold an asset only if its short-term average price is above its 200‑day average; otherwise sit in T‑bills (SHV). Equal weights across US and foreign stocks, Treasuries, commodities, and real estate.
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.
5 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.
1.2% of weight in (IVV: 3.0%)
3 funds (SEC N-PORT, as of 2026-05-31) · : SPY via IVV
: 7.6% (DBC 20% × 0.37), shown separately from fossil-fuel companies.
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 86% · 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 6 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 Multi-asset 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.
4 missing
The text the rules are quoted from, with where it came from.
Each month we split money equally across 5 sleeves: SPY (US stocks), EFA (foreign stocks), IEF (7–10y Treasuries), DBC (commodities), VNQ (US real estate). For each, if its short‑term average price (~1 month) is above its long‑term average (~200 trading days), we own it; otherwise we hold SHV (T‑bills). Then we rebalance.
A simple, rules-based trend strategy across five ETFs. Each month, hold an asset only if its short-term average price is above its 200‑day average; otherwise sit in T‑bills (SHV). Equal weights across US and foreign stocks, Treasuries, commodities, and real estate.
Out-of-sample, this strategy delivers stronger risk-adjusted performance than the S&P 500: Sharpe ~1.0 vs ~0.88, max drawdown ~8.9% vs ~22%, and disciplined diversification across five assets with monthly trend signals.
A strategy built on a classic trading indicator -- the 200 day moving average. The strategy is made up of assets representing five categories of stocks, bonds, real estate, and commodities. Each month, the strategy buys an asset if its monthly average price is higher than its 200 day average. If the price falls below that average, the strategy moves into short-term U.S. government bonds, our proxy for holding cash. This popular strategy was developed by Meb Faber and adapted into a symphony by Composer. By choosing to trade this strategy, you understand that the strategy employs ETFs, and that you understand the associated risks of trading, holding, and costs associated with ETFs, and also leveraged ETFs. Before investing in ANY strategy containing an ETF, please review the relevant ETF prospectus.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $25k | 2026-10-19 | |
| Backtest regulatory fees | $16 | 2026-10-19 | |
| Backtest slippage cost | $87 | 2026-10-19 |
| AI categories (Composer) | diversification, etfs, moving average, multi-asset, risk management, tactical asset allocation, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 32 | 2026-10-19 | |
| Rebalance frequency | monthly |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.34 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "DBC", "EFA", "IEF", "SHV", "SPY", "VNQ" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.03 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.26 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.62 | 2026-10-19 |
| Remixes (copies) | 110 | 2026-10-19 | |
| Watchers | 151 | 2026-10-19 |
| Backtest length | 4,973 | 2026-10-19 | |
| Out-of-sample length | 1,173 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 4.77% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 151.05% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 6.98% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 36.74% | ||
| Return, trailing 1 day (out-of-sample) | 0.04% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | -1.02% | ||
| Return, trailing 1 week (out-of-sample) | -0.10% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 16.08% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 17.15% | ||
| Return, trailing 2 weeks (out-of-sample) | 0.40% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 3.12% | ||
| SPY annualized return over the backtest window (backtest) | 10.92% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.22 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.79 | ||
| Maximum drawdown, backtest period (backtest) | -22.12% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -8.87% | ||
| Sharpe ratio, backtest period (backtest) | 0.58 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.99 | ||
| Sortino ratio, backtest period (backtest) | 0.79 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.39 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 8.67% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 7.05% |
| Risk rating (Composer data field) | Moderate | 2026-10-19 |
| Annualized turnover, backtest period (backtest) | 1.96 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 1.96 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.88% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 56.10% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
