Composer · investment strategy
by Composer Technologies · via Composer
A trend-based ETF mix that goes risk-on with US stock momentum when the S&P 500 is rising, and shifts to a defensive blend of managed futures, low-volatility stock funds, and gold when it isn’t. Rebalanced daily.
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.
7 positions as of 2026-10-19
: 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.
2.0% of weight in (IVV: 3.0%)
4 funds (SEC N-PORT, as of 2026-05-31)
: 1.6% (KMLM 10% × 0.16), shown separately from fossil-fuel companies.
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 92% · 2026-10-19 ()
0.0% of weight in (SPY: 0%)
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100% · 2026-10-19 ()
0 of 9 funds in its are
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 100%
Strategies that share its Alternatives 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.
4 missing
The text the rules are quoted from, with where it came from.
Each day it checks if the S&P 500’s recent average is above its long‑term average (21‑day EMA vs 200‑day MA). If yes, put 50% in SPMO (US stocks with strong recent gains) and 50% split across GLD (gold), DBMF/KMLM (managed‑futures trend funds), CLSE (long/short stocks), SDCI (broad commodities). If not, split evenly across DBMF, KMLM, ACWV/USMV (low‑volatility stock funds), and GLD. Rebalanced daily.
A trend-based ETF mix that goes risk-on with US stock momentum when the S&P 500 is rising, and shifts to a defensive blend of managed futures, low-volatility stock funds, and gold when it isn’t. Rebalanced daily.
Out-of-sample edge: Sharpe 2.02 vs 1.97, max drawdown 7.21% vs 8.89%, Calmar 4.16. A regime-switching mix of momentum stocks, gold, and trend futures offers diversification and stronger risk-adjusted upside relative to the S&P 500.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $21k | 2026-10-19 | |
| Backtest regulatory fees | $37 | 2026-10-19 | |
| Backtest slippage cost | $32 | 2026-10-19 |
| AI categories (Composer) | commodities, etf portfolio, gold, low-volatility equities, managed futures, momentum, risk-on/risk-off, tactical allocation, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 17 | 2026-10-19 | |
| Rebalance frequency | daily |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.29 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "ACWV", "CLSE", "DBMF", "GLD", "KMLM", "SDCI", "SPMO", "SPY", "USMV" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.09 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.53 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.62 | 2026-10-19 |
| Remixes (copies) | 12 | 2026-10-19 | |
| Watchers | 15 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 1,168 | 2026-10-19 | |
| Out-of-sample length | 385 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 17.35% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 110.05% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 30.00% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 48.54% | ||
| Return, trailing 1 day (out-of-sample) | -1.12% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | 0.84% | ||
| Return, trailing 1 week (out-of-sample) | -2.79% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 16.99% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 22.08% | ||
| Return, trailing 2 weeks (out-of-sample) | -3.68% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 3.20% | ||
| SPY annualized return over the backtest window (backtest) | 14.85% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 1.63 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 4.16 | ||
| Maximum drawdown, backtest period (backtest) | -10.64% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -7.21% | ||
| Sharpe ratio, backtest period (backtest) | 1.48 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 2.02 | ||
| Sortino ratio, backtest period (backtest) | 2.15 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.72 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 11.22% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 13.50% |
| Annualized turnover, backtest period (backtest) | 1.21 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 1.37 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 58.13% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 60.52% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
