Composer · investment strategy
by Composer Technologies · via Composer
Binary switch: use KMLM’s 10‑day return as a signal. If KMLM is down >~2%, go 100% into SVXY (short volatility). Otherwise, hold BIL (T‑bills). High risk when in SVXY; otherwise cash-like safety.
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 Aggressive risk 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.
It checks how KMLM (a managed-futures ETF) did over the last 10 trading days. If KMLM fell more than about 2% in that span, it puts 100% into SVXY (a fund that profits when market volatility calms). Otherwise, it sits in BIL (T‑bills). It only trades when this signal flips.
Binary switch: use KMLM’s 10‑day return as a signal. If KMLM is down >~2%, go 100% into SVXY (short volatility). Otherwise, hold BIL (T‑bills). High risk when in SVXY; otherwise cash-like safety.
Out-of-sample, this strategy offers a safer ballast vs the S&P 500: max drawdown 10.4% vs 18.8%, Calmar 1.26, and 13.1% annualized return. A volatility-timing signal protects capital during spikes while still pursuing meaningful gains.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | cash/bills, managed futures signal, rules-based, short volatility, tactical timing | ||
| Asset classes / instruments | equities |
| Rebalance corridor width | 10.00% | ||
| Rebalance frequency | none |
| Return, out-of-sample period (annualized) (out-of-sample) | 13.12% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 30.17% | ||
| Return, trailing 1 month (out-of-sample) | 0.34% | ||
| Return, trailing 1 year (out-of-sample) | 11.91% | ||
| Return, trailing 3 months (out-of-sample) | 2.94% |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.26 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -10.41% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.94 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 14.22% |
Composer Technologies · Composer
Composer Technologies · Composer
