Composer · investment strategy
by Composer Technologies · via Composer
Rules-based “risk-on/risk-off” portfolio: hides in T‑bills on volatility spikes, owns recent winners among big US stocks when bonds beat cash, and otherwise rotates into commodity and bond ETFs to stay defensive.
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.
“If VIXY (a volatility ETF) jumps fast (RSI>75; RSI is a short‑term “speed” gauge), move 100% to BIL (1–3 mo T‑Bills).”
“buy the top 3 recent winners in each (20‑day momentum), equal‑weighted”
“if BND (broad US bonds) beat BIL, go risk‑on”
6 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%)
5 funds (SEC N-PORT, as of 2026-05-31)
No stated fossil-fuel rule; the exposure is shown for reference. : 93% · 2026-10-11 ()
33.1% of weight in (SPY: 0%)
It holds (or may hold) these, but none of its stated rules mention it. Worth checking the source text. : 100% · 2026-10-11 ()
4 of 56 funds in its are : TBT, TMF, TMV, TYD
It holds (or may hold) these, but none of its stated rules mention it. Worth checking the source text. : 100%
Strategies that share its Multi-asset 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.
2 missing
The text the rules are quoted from, with where it came from.
1) If fear spikes: If VIXY (a volatility ETF) jumps fast (RSI>75; RSI is a short‑term “speed” gauge), move 100% to BIL (1–3 mo T‑Bills).<br>2) Else, compare last 60 days: if BND (broad US bonds) beat BIL, go risk‑on—split across S&P/Nasdaq/Dow buckets and buy the top 3 recent winners in each (20‑day momentum), equal‑weighted.<br>3) If bonds didn’t beat cash, go risk‑off—50% in the 2 strongest commodity funds and 50% in the 3 strongest bond/cash funds.
Rules-based “risk-on/risk-off” portfolio: hides in T‑bills on volatility spikes, owns recent winners among big US stocks when bonds beat cash, and otherwise rotates into commodity and bond ETFs to stay defensive.
A rules-based, multi-asset strategy with low market beta (~0.39) and a built-in volatility shield. Out-of-sample, it diversifies across stocks, commodities, and bonds for steadier risk-adjusted returns and lower correlation to the S&P 500.
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Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $116k | 2026-10-11 | |
| Backtest regulatory fees | $777 | 2026-10-11 | |
| Backtest slippage cost | $5,927 | 2026-10-11 |
| AI categories (Composer) | bonds, commodities, equities, momentum, risk-on/risk-off, tactical asset allocation, volatility filter | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 97 | 2026-10-11 | |
| Rebalance corridor width | 1.00% | 2026-10-11 | |
| Rebalance frequency | none | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.19 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "AAPL", "ADBE", "AGG", "AMD", "AMGN", "AMZN", "AVGO", "AXP", "BA", "BIL", "BND", "BNDX", "BRK/B", "BWX", "CAT", "COM", "COST", "CRM", "CSCO", "DBA", "DBB", "DBC", "EMB", "FAAR", "FTGC", "GBIL", "GLTR", "GOOG", "GOOGL", "GS", "HD", "HON", "HYG", "IEF", "JNJ", "JPM", "LLY", "MCD", "META", "MSFT", "NFLX", "NVDA", "PDBC", "PEP", "SHV", "TBT", "TMF", "TMV", "TRV", "TSLA", "TYD", "UNH", "V", "VGSH", "VIXY", "XOM" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.11 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.39 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.33 | 2026-10-11 |
| Remixes (copies) | 184 | 2026-10-11 | |
| Watchers | 80 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 2,375 | 2026-10-11 | |
| Out-of-sample length | 817 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 29.67% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 1059% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 18.62% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 74.05% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.11% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | 3.32% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | -0.23% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 2.14% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 2.19% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 1.06% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 5.80% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 15.18% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 1.39 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.87 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -21.31% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -21.30% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 1.41 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.06 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 2.10 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 1.51 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 19.79% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 17.53% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 59.79 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 62.14 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 54.91% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.08% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
