Composer · investment strategy
by Composer Technologies · via Composer
A layered, rules‑based ETF strategy that identifies risk‑on vs risk‑off, confirms with extra checks, and adds a hedged mean‑reversion “bounce” rule. It leans into semis/biotech/financials when risk‑on, and shifts to gold/Treasuries/defensives and some shorts when risk‑off.
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 Fixed income 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 first asks: are investors embracing risk? It checks if “riskier” assets (like junk bonds) are beating “safer” ones (quality/low‑vol stocks). It double‑checks with other pairs (banks vs transports, etc.). If many areas look very oversold (RSI = recent speed of drops), it buys likely rebound groups (semis, biotech) but adds hedges (some inverse/defensive ETFs). It sizes by volatility and rebalances daily.
A layered, rules‑based ETF strategy that identifies risk‑on vs risk‑off, confirms with extra checks, and adds a hedged mean‑reversion “bounce” rule. It leans into semis/biotech/financials when risk‑on, and shifts to gold/Treasuries/defensives and some shorts when risk‑off.
Out-of-sample, this strategy beats the S&P on risk-adjusted return with steadier drawdowns: Sharpe ~5.85 vs ~2.71, annualized return ~32.8% vs 29.3%, max drawdown ~0.56% vs 1.41%, and a strong Calmar profile.
This algorithm uses a variety of ratios between ETF's that serve as effective signals for being long risk versus risk-off. It then takes that strategy a step further and adds a second layer of risk testing to help diversify signals and to better validate risk regime. Finally, it adds a mean reversion provision that helps avoid whiplash effects of being long during momentum shifts.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | daily rebalance, hedged long/short, mean reversion + momentum, multi-asset etf rotation, risk-on/risk-off regime, volatility filters | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 32.81% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 2.62% | ||
| Return, trailing 1 month (out-of-sample) | 2.62% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | -5.87% |
| Calmar ratio, out-of-sample period (out-of-sample) | 58.51 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -0.56% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 5.85 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 5.09% |
Composer Technologies · Composer
Composer Technologies · Composer
