Composer · investment strategy
by Composer Technologies · via Composer
Daily rotates into the single managed‑futures ETF with the lowest 15‑day RSI, betting the short‑term laggard rebounds. Exposure comes via futures on commodities, currencies, rates, and equity indexes. High turnover; concentrated in one fund.
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 2026-10-11
: 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.
0.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 19% · 2026-10-11 ()
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% · 2026-10-11 ()
0 of 5 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 Alternatives 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 five managed‑futures ETFs: DBMF, CTA, KMLM, WTMF, FMF. These funds use futures to ride trends in commodities, currencies, interest rates, and stock indexes. It computes a 15‑day RSI (a 0–100 gauge of recent moves; low means it fell lately) and buys the one with the lowest RSI, putting 100% into it until the next day. Expect frequent switching and exposure to those global markets, not to single stocks.
Daily rotates into the single managed‑futures ETF with the lowest 15‑day RSI, betting the short‑term laggard rebounds. Exposure comes via futures on commodities, currencies, rates, and equity indexes. High turnover; concentrated in one fund.
Out-of-sample edge: Sharpe 1.70 vs SPY 1.29; annualized return 25.31% vs 21.18%; max drawdown 13.94% vs 18.76%. Low equity beta (~0.12). Diversified managed-futures exposure offers higher risk-adjusted returns with better downside protection.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $33k | 2026-10-11 | |
| Backtest regulatory fees | $156 | 2026-10-11 | |
| Backtest slippage cost | $1,099 | 2026-10-11 |
| AI categories (Composer) | alternatives, contrarian, cta, daily rebalance, managed futures, rotation, rsi | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 10 | 2026-10-11 | |
| Rebalance frequency | daily | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 1 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "CTA", "DBMF", "FMF", "KMLM", "WTMF" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.21 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.12 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.14 | 2026-10-11 |
| Remixes (copies) | 18 | 2026-10-11 | |
| Watchers | 12 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 1,137 | 2026-10-11 | |
| Out-of-sample length | 613 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 30.19% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 229.15% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 25.31% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 73.29% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | -0.68% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | 11.44% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 0.14% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 62.81% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 62.82% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 4.15% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 32.09% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 13.78% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 2.17 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.82 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -13.94% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -13.94% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 2.09 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.70 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 3.29 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.68 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 13.04% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 13.89% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 69.59 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 59.61 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 56.90% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.46% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
