Composer · investment strategy
by Composer Technologies · via Composer
Picks 5 recent winners from the biggest S&P 500 stocks when trends are favorable, but goes to an inverse S&P 500 ETF (SH) when conditions look risky or overly hot. It adapts its lookback window (2–90 days) to the market’s state.
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 Momentum 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.
It watches the S&P 500 (SPY) to judge market health. Think of RSI as a 0–100 “speedometer” (high = overheated, low = washed out) and moving averages as trend lines.<br>• If the market is healthy and not overheated: own 5 of the strongest big US stocks by recent gains (about 3 months).<br>• After dips: still buy leaders, but using shorter lookbacks (20/10/5/2 days).<br>• If nothing looks good or things are too hot: hold SH, which moves opposite the S&P 500.
Picks 5 recent winners from the biggest S&P 500 stocks when trends are favorable, but goes to an inverse S&P 500 ETF (SH) when conditions look risky or overly hot. It adapts its lookback window (2–90 days) to the market’s state.
Out-of-sample edge: ~28% annualized return vs SPY ~6.7%, higher risk-adjusted metrics (Sharpe ~0.86, Calmar ~2.03). While drawdowns run ~14%, the strategy seeks big upside in leaders with defensive SH hedges in overheating markets.
Last Edit, 06/24/2024
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | concentrated, defensive overlay, inverse-etf hedge, regime switching, tactical, trend following, us large-cap momentum | ||
| Asset classes / instruments | equities |
| Rebalance corridor width | 20.00% | ||
| Rebalance frequency | none |
| Return, out-of-sample period (annualized) (out-of-sample) | 28.42% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 3.95% | ||
| Return, trailing 1 month (out-of-sample) | 10.30% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 0.00% |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.03 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -14.00% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.86 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 38.29% |
Composer Technologies · Composer
Composer Technologies · Composer
