Composer · investment strategy
by Composer Technologies · via Composer
Daily-rebalanced, multi-timeframe momentum strategy. Half the money stays diversified across the whole list; half tilts into recent winners and steadier names. Tech/semis dominate the list, with miners, industrials, consumer, and a bank for balance.
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 Technology label, from other sources first, strongest risk-adjusted return first.
Collective2
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 day you refresh a list of strong stocks from your scanner. The portfolio blends three views: daily (20%), weekly (50%), monthly (30%). Each view has four parts: (1) all stocks, tilted to steadier ones, (2) the 2 best recent gainers, (3) all stocks equally, (4) the 2 with the smallest recent drops. It rebalances daily.
Daily-rebalanced, multi-timeframe momentum strategy. Half the money stays diversified across the whole list; half tilts into recent winners and steadier names. Tech/semis dominate the list, with miners, industrials, consumer, and a bank for balance.
Out-of-sample edge: 18.45% annualized return vs 16.01% for the S&P, with multi-timeframe momentum and built-in risk controls (inverse-vol, drawdown filters) that boost risk-adjusted prospects. Note: higher drawdowns in market selloffs.
Using a daily, weekly, and monthly custom momentum ToS scanner for asset selection. Not backtestable in Composer as assets can change daily. However, a short backtest does bear some merit as the symphony still achieves good metrics, which inspires confidence that missing an update or two should not adversely affect performance. I'll be working on a Python script that will allow backtesting based on the dynamic asset basket changes. Of course, a bear market will look very different. Will take less than 5 minutes to update each day.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | daily rebalance, dynamic universe, inverse-vol, large-cap stocks, momentum, multi-timeframe, risk-managed, tech/semi tilt | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 18.45% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 7.60% | ||
| Return, trailing 1 month (out-of-sample) | 0.45% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | -3.75% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.85 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -21.74% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.62 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 40.96% |
Composer Technologies · Composer
Composer Technologies · Composer
