Composer · investment strategy
by Composer Technologies · via Composer
A daily‑rebalanced, multi‑asset strategy that gauges risk appetite across stocks, credit, commodities, currencies and volatility, adds short‑term mean‑reversion, and rotates between cyclical/tech risk and Treasuries/defensives/gold, with special logic for crude oil trades.
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.
It reads the market’s risk appetite using quick scorecards (3–15 days): small caps vs low‑vol stocks, junk bonds vs quality, EU banks vs US insurers, etc. If risk‑on, it leans into semis/tech/industrials/commodities; if risk‑off, it shifts to Treasuries, staples/utilities, gold, or volatility. A short‑term “oversold” layer buys bounces. Positions are sized by volatility and rebalanced daily.
A daily‑rebalanced, multi‑asset strategy that gauges risk appetite across stocks, credit, commodities, currencies and volatility, adds short‑term mean‑reversion, and rotates between cyclical/tech risk and Treasuries/defensives/gold, with special logic for crude oil trades.
Out-of-sample Sharpe ~3.16 and Calmar ~8, with max drawdown ~2.56% vs SPY ~3.06%, deliver stronger risk-adjusted performance and tighter downside protection. A diversified, rules-based, daily-rebalanced approach for steadier growth than the S&P 500.
This core of this algo is primarily built using cross asset comparisons to determine risk appetite and market environment. These are nested so that multiple timeframes for risk windows are taken into account, making it such that the algorithm checks shorter term risk appetite as well as longer term. It then layers in a mean reversion component as well to help truncate overstaying any played-out trends.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | cross-asset, etf, mean-reversion, multi-asset, risk-on/off, tactical-asset-allocation, trend-following, volatility-management | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 20.78% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 3.90% | ||
| Return, trailing 1 month (out-of-sample) | 3.22% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 2.05% |
| Calmar ratio, out-of-sample period (out-of-sample) | 8.12 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -2.56% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 3.16 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 6.16% |
Composer Technologies · Composer
Composer Technologies · Composer
