Composer · investment strategy
by Composer Technologies · via Composer
A daily trend-following global stock portfolio with a small‑value tilt that shifts ~70% into U.S. Treasuries when the S&P 500 falls below its 100‑day average to reduce drawdowns.
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.
4.1% of weight in (IVV: 3.0%)
5 funds (SEC N-PORT, as of 2026-05-31)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 67% · 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 8 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 day it checks if SPY (an S&P 500 fund) is above its average price over the last ~100 trading days. If yes, it goes 100% into global stocks with a tilt to smaller, cheaper companies: VTI=US, VEA=developed ex‑US, VWO=emerging, AVUV & AVDV=small‑value. If not, it cuts stocks to ~30% and parks ~70% in U.S. Treasuries (VGSH short‑term, SPTI intermediate). It rebalances daily.
A daily trend-following global stock portfolio with a small‑value tilt that shifts ~70% into U.S. Treasuries when the S&P 500 falls below its 100‑day average to reduce drawdowns.
Out-of-sample edge: ~22.28% annual return with lower drawdown (~7.51% vs 8.89%), beta ~0.84, and Calmar ~2.97—nearly SPY on risk-adjusted terms, but with smoother, more resilient growth via trend-following and global small-value tilt.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $24k | 2026-10-19 | |
| Backtest regulatory fees | $66 | 2026-10-19 | |
| Backtest slippage cost | $130 | 2026-10-19 |
| AI categories (Composer) | 100-day moving average, global equities, risk-on/risk-off, small-cap value tilt, tactical asset allocation, treasuries hedge, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 18 | 2026-10-19 | |
| Rebalance frequency | daily |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.27 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "AVDV", "AVUV", "SPTI", "SPY", "VEA", "VGSH", "VTI", "VWO" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.00 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.84 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.88 | 2026-10-19 |
| Remixes (copies) | 3 | 2026-10-19 | |
| Watchers | 5 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 1,774 | 2026-10-19 | |
| Out-of-sample length | 366 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 13.37% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 142.03% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 22.28% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 33.40% | ||
| Return, trailing 1 day (out-of-sample) | -0.70% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | -0.91% | ||
| Return, trailing 1 week (out-of-sample) | -1.29% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 13.04% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 15.38% | ||
| Return, trailing 2 weeks (out-of-sample) | -1.92% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 1.41% | ||
| SPY annualized return over the backtest window (backtest) | 16.04% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.69 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.97 | ||
| Maximum drawdown, backtest period (backtest) | -19.46% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -7.51% | ||
| Sharpe ratio, backtest period (backtest) | 1.02 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.77 | ||
| Sortino ratio, backtest period (backtest) | 1.44 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.45 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 13.10% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 11.81% |
| Annualized turnover, backtest period (backtest) | 5.37 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 2.41 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.17% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 56.83% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
