Composer · investment strategy
by Composer Technologies · via Composer
A daily, tactical ETF strategy that reads macro regimes, overbought/oversold (RSI), and a quick bottoming test (banks vs insurers) to rotate. It leans into tech/semis in risk‑on, shifts to Treasuries, gold, utilities, USD and volatility hedges, and can use inverse ETFs in selloffs.
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) Reads the macro “weather” by comparing simple scorecards (e.g., copper miners vs mortgages) to pick a regime (inflationary, disinflationary, stagflation, crash).<br>2) Chooses baskets: offense (semiconductors/SOXX) or defense (Treasuries/TLT, gold/GLD, utilities/XLU), plus FX/volatility hedges (VIXM).<br>3) RSI (a short‑term speedometer) flags overbought/oversold.<br>4) Before shorting, it checks if banks beat insurers (EUFN > KIE), a sign a bounce may start.<br>5) Rebalances daily; sizes trim risk by volatility.
A daily, tactical ETF strategy that reads macro regimes, overbought/oversold (RSI), and a quick bottoming test (banks vs insurers) to rotate. It leans into tech/semis in risk‑on, shifts to Treasuries, gold, utilities, USD and volatility hedges, and can use inverse ETFs in selloffs.
Outperforms on a risk-adjusted basis: OOS Sharpe ~9 vs SPY ~3.9, OOS return ~76.5% vs 41%, and smaller drawdowns. Daily regime rotation stays with leaders (semis) and hedges with bonds, gold, and VIX in downturns.
Same core logic as original Short Term Momentum that Works Algorithm, except there is an additional macro filter layer before any allocation is made. Then it adds a separate branch with a mean reversion front-runner as well.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | daily rebalance, long/short, macro regime rotation, momentum + mean reversion, multi-asset, risk-managed, tactical etf, volatility hedging | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 76.55% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 3.91% | ||
| Return, trailing 1 month (out-of-sample) | 0.00% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 0.00% |
| Calmar ratio, out-of-sample period (out-of-sample) | 180.23 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -0.42% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 9.00 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 6.75% |
Composer Technologies · Composer
Composer Technologies · Composer
