Composer · investment strategy
by Composer Technologies · via Composer
If KMLM’s last 10‑day return is positive, split between KMLM (managed futures) and BIL (T‑Bills); otherwise hold SPY (S&P 500). It uses KMLM’s short‑term performance as a simple macro regime switch.
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.
2 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.
3.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30) · : SPY via IVV
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 99% · 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 3 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 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.
4 missing
The text the rules are quoted from, with where it came from.
Each day it checks how KMLM (a managed‑futures fund that follows trends in commodities, currencies, and interest rates) did over the last 10 trading days. If the gain is above 0, it puts ~50% in KMLM and ~50% in BIL (short‑term T‑Bills). If not, it goes 100% to SPY (S&P 500). It rebalances only when the signal flips or the 50/50 mix drifts by ~10%. In KMLM mode you’re exposed to trends in oil, gold, grains, currencies, and rates; in SPY mode you own large U.S. companies.
If KMLM’s last 10‑day return is positive, split between KMLM (managed futures) and BIL (T‑Bills); otherwise hold SPY (S&P 500). It uses KMLM’s short‑term performance as a simple macro regime switch.
Diversified regime-switching strategy that reduces risk while preserving upside. In out-of-sample tests it lowers drawdown to 12.9% vs SPY’s 18.8%, trims beta, and delivers solid risk-adjusted returns (Calmar ~1.22) with modest alpha.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $31k | 2026-10-19 | |
| Backtest regulatory fees | $96 | 2026-10-19 | |
| Backtest slippage cost | $799 | 2026-10-19 |
| AI categories (Composer) | equities vs cash, managed futures, momentum, regime switching, risk management, tactical asset allocation, trend proxy | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 7 | 2026-10-19 | |
| Rebalance corridor width | 10.00% | ||
| Rebalance frequency | none |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.72 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "BIL", "KMLM", "SPY" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.04 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.61 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.72 | 2026-10-19 |
| Remixes (copies) | 5 | 2026-10-19 | |
| Watchers | 2 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 1,465 | 2026-10-19 | |
| Out-of-sample length | 522 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 21.15% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 205.26% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 15.72% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 34.92% | ||
| Return, trailing 1 day (out-of-sample) | -1.11% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | 0.55% | ||
| Return, trailing 1 week (out-of-sample) | -1.48% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 11.02% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 12.56% | ||
| Return, trailing 2 weeks (out-of-sample) | -1.37% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 5.09% | ||
| SPY annualized return over the backtest window (backtest) | 14.91% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 1.64 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.22 | ||
| Maximum drawdown, backtest period (backtest) | -12.90% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -12.90% | ||
| Sharpe ratio, backtest period (backtest) | 1.63 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.13 | ||
| Sortino ratio, backtest period (backtest) | 2.50 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.65 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 12.23% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 13.85% |
| Annualized turnover, backtest period (backtest) | 35.47 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 34.44 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 56.59% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 56.32% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
