Composer · investment strategy
by Composer Technologies · via Composer
Monthly, it checks if the S&P 500 is in an uptrend. If yes, buy the single best recent performer among big growth, big value, tech, or low‑vol ETFs. If not, buy the best of utilities, communications, or T‑bills. One ETF at 100%, then reassess.
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 Trend following 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.
Each month it checks the S&P 500 (via SPY). If the recent average price (~15 days, weighted to the latest days) is above the longer average (~60 days), it treats the market as healthy and buys 1 ETF: the best performer over ~35 days among MGK (big growth), MGV (big value), VGT (tech), SPLV (low‑vol stocks).<br>If the market isn’t healthy, it buys the 1 best over ~10 days among XLU (utilities), XLC (communications), or BIL (T‑bills). It puts 100% in that ETF for a month, then repeats.
Monthly, it checks if the S&P 500 is in an uptrend. If yes, buy the single best recent performer among big growth, big value, tech, or low‑vol ETFs. If not, buy the best of utilities, communications, or T‑bills. One ETF at 100%, then reassess.
Out-of-sample, this strategy shows positive risk-adjusted returns via a disciplined monthly ETF rotation—momentum in uptrends, defense in downturns. With beta ~0.82 and Calmar ~1.08, it adds diversification and risk discipline beyond the S&P 500.
Check out Facebook Composer.trade group for details.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | etf rotation, momentum, monthly rebalance, moving-average filter, risk-on/risk-off, trend-following | ||
| Asset classes / instruments | equities |
| Rebalance frequency | monthly |
| Return, out-of-sample period (annualized) (out-of-sample) | 11.58% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 9.85% | ||
| Return, trailing 1 month (out-of-sample) | -1.81% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | -3.55% |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.08 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -10.68% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.75 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 16.63% |
Composer Technologies · Composer
Composer Technologies · Composer
