Composer · investment strategy
by Composer Technologies · via Composer
Keeps 50% in cash. Each day, among MT, NUE, PH, and ROK, buys the two that have dropped most recently (by a 14‑day strength score) and gives more weight to the steadier one (12‑day). Industrial/materials focus; aims for short‑term mean reversion.
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 Capital preservation 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.
Half the money stays in cash.<br>From four US‑listed industrial/steel names—ArcelorMittal (MT), Nucor (NUE), Parker‑Hannifin (PH), and Rockwell Automation (ROK)—it picks the two that have fallen the most lately, using a 14‑day 0–100 “recent gains vs losses” score (lower = weaker).<br>The calmer of the two (over ~12 days) gets more money, the jumpier one gets less.<br>Rebalanced daily.
Keeps 50% in cash. Each day, among MT, NUE, PH, and ROK, buys the two that have dropped most recently (by a 14‑day strength score) and gives more weight to the steadier one (12‑day). Industrial/materials focus; aims for short‑term mean reversion.
Out-of-sample: ~12% annualized return, 14.6% max drawdown, Sharpe 0.52 vs SPY 1.61. It adds diversification and risk control (50% cash) with a disciplined mean-reversion tilt in industrials.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | cash buffer, daily rebalance, equities, industrials/materials, inverse-vol weighting, mean reversion, rsi-based selection | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 11.87% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 8.48% | ||
| Return, trailing 1 month (out-of-sample) | -2.42% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | -0.02% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.81 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -14.59% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.52 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 30.61% |
Composer Technologies · Composer
Composer Technologies · Composer
