Composer · investment strategy
by Composer Technologies · via Composer
Daily, regime‑switching strategy. If DBB outperforms TLT, it plays inflation (commodities/cyclicals); otherwise it plays deflation (Treasuries/defensives). Short‑term RSI “speedometer” adds brakes/hedges, including some leveraged/inverse and volatility ETFs.
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 Macro signals 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.
1) Decide the backdrop: If a base‑metals fund (DBB: copper/aluminum/zinc; an inflation proxy) is beating long US Treasuries (TLT: a safety/deflation proxy), it treats markets as inflationary—otherwise deflationary. 2) Inside that, it uses RSI—a 0–100 price “speedometer” (>70 hot, <30 washed‑out)—to tell risk‑on/off. 3) It buys what fits the regime (inflation→commodities/cyclicals; deflation→Treasuries/defensives) and adds hedges or inverse funds when things look overheated/weak. Rebalanced daily. Uses some leveraged/volatility ETFs, which add risk.
Daily, regime‑switching strategy. If DBB outperforms TLT, it plays inflation (commodities/cyclicals); otherwise it plays deflation (Treasuries/defensives). Short‑term RSI “speedometer” adds brakes/hedges, including some leveraged/inverse and volatility ETFs.
Regime-switching, inflation/deflation playbook with RSI brakes and hedges, rebalanced daily. Out-of-sample results: Calmar ~0.94, Sharpe ~0.82—strong risk-adjusted diversification that can cushion the S&P 500 during volatile regimes.
This strategy detects whether the market is inflationary or deflationary by comparing the performance of a metals ETF (DBB) against a long-term Treasury ETF (TLT). In an “inflationary” phase, it looks for opportunities in commodities and certain equity sectors, while using leveraged or inverse ETFs when it detects risk‐off signals based on technical indicators like RSI. In a “deflationary” phase, it may rotate more heavily into defensive plays, Treasuries, or inverse positions. The system continuously rebalances daily and makes frequent use of overbought/oversold signals. STRENGTHS • Regime Adaptation: Quickly switches between inflationary or deflationary plays. • Layered Protection: Uses multiple RSI thresholds and asset filters to manage drawdowns. • Diverse Positioning: Employs a variety of equity sectors, bonds, volatility products, and commodities. WEAKNESSES • Complexity: Multiple condition checks might lead to whipsaws and make the system harder to interpret. • Transaction Costs: Frequent trades could be expensive in terms of commissions/spreads. • Leveraged/Inverted ETFs: These instruments come with unique risks and can deviate from expected performance over time.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | leveraged/inverse, multi-asset etfs, regime switching, tactical asset allocation, trend & mean reversion, volatility hedging | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 17.03% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 28.68% | ||
| Return, trailing 1 month (out-of-sample) | 2.01% | ||
| Return, trailing 1 year (out-of-sample) | 2.87% | ||
| Return, trailing 3 months (out-of-sample) | 4.51% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.94 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -18.18% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.82 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 22.23% |
Composer Technologies · Composer
Composer Technologies · Composer
