Composer · investment strategy
by Composer Technologies · via Composer
Rules-based US large-cap momentum. In uptrends it holds the 5 strongest big stocks; in weak markets it shortens its lookback or hedges with SH (inverse S&P 500). Uses trend (200‑day), RSI “hot/cold,” and a ~20% rebalance band.
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.
Universe: SPY (S&P 500 ETF) plus ~100 of the biggest US stocks. It first checks the market trend.<br>If SPY is above its 200‑day average, it owns the 5 strongest 3‑month performers, with smaller weights on jumpier names. If SPY is very “hot” (RSI>80), it temporarily holds SH (moves opposite the S&P).<br>Otherwise, it uses shorter lookbacks (20/10/5/2 days) or SH when selling is strong. RSI=0–100 “hot/cold.” Rebalances only when weights drift ~20%.
Rules-based US large-cap momentum. In uptrends it holds the 5 strongest big stocks; in weak markets it shortens its lookback or hedges with SH (inverse S&P 500). Uses trend (200‑day), RSI “hot/cold,” and a ~20% rebalance band.
Regime-aware momentum with a hedge diversifies SPY exposure. OOS results show top-momentum exposure but lower return and risk-adjusted performance than SPY and larger drawdowns. Use as a diversifier, not a replacement.
Last Edit, 06/24/2024
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | inverse-etf hedge, rsi-based, tactical allocation, 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) | 17.36% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 4.95% | ||
| Return, trailing 1 month (out-of-sample) | 9.93% | ||
| Return, trailing 1 year (out-of-sample) | 283.01% | ||
| Return, trailing 3 months (out-of-sample) | 5.32% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.60 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -29.13% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.56 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 55.55% |
Composer Technologies · Composer
Composer Technologies · Composer
