Composer · investment strategy
by Composer Technologies · via Composer
Daily, it reads how stretched SPY is. Very weak SPY: usually short volatility (ZVOL/SVXY) unless panic is extreme, then sit in PULS. Very strong SPY: go long mid-term VIX via VXZ. Otherwise, hold PULS. Goal: capture volatility swings with a risk brake.
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.
1 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.
0.9% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-05-29)
Fewer than 70% of the holdings could be identified, so there’s no verdict. : 43% · 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 ()
1 of 5 funds in its are : UVXY
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 Aggressive risk 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.
Aims to profit from swings in market volatility (VIX). Each day it checks the S&P 500 (SPY) over 2–10 days with RSI, a 0–100 gauge of recent moves (low=fallen hard, high=run up). If SPY is very weak, it usually shorts volatility via an inverse VIX fund (ZVOL; use SVXY if needed) unless a panic filter says vol is already extreme (then it holds a cash-like fund, PULS). If SPY is very strong, it buys a mid-term VIX fund (VXZ). Otherwise it stays in PULS.
Daily, it reads how stretched SPY is. Very weak SPY: usually short volatility (ZVOL/SVXY) unless panic is extreme, then sit in PULS. Very strong SPY: go long mid-term VIX via VXZ. Otherwise, hold PULS. Goal: capture volatility swings with a risk brake.
Out-of-sample edge: ~24.8% annualized return vs ~16.6% for the S&P; max drawdown ~5.7% vs ~18.8%; Calmar ~4.35; oos Sharpe ~2.25. Higher risk-adjusted upside with low beta and volatility-swing resilience.
I wanted to create a very simple strategy that earns from VIX. I use mid-term volatility ETFs to reduce variability the size of movements. SPY RSI predicts whether to short or go long VIX Mid-Term Futures ETPs. Additionally, since this uses a fairly unpopular set of ETPs, it doesn't conflict with many other symphonies for wash sales, etc. To back test further, use SVXY instead of ZVOL. Future improvements research could include SVIX and UVIX.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $25k | 2026-10-19 | |
| Backtest regulatory fees | $147 | 2026-10-19 | |
| Backtest slippage cost | $856 | 2026-10-19 |
| AI categories (Composer) | daily rebalance, derivatives etps, risk-managed, rsi-based tactical, short-term signals, volatility/vix | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 112 | 2026-10-19 | |
| Rebalance frequency | daily |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.78 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "PULS", "SPY", "UVXY", "VXZ", "ZVOL" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.20 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 0.11 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.18 | 2026-10-19 |
| Remixes (copies) | 344 | 2026-10-19 | |
| Watchers | 92 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 878 | 2026-10-19 | |
| Out-of-sample length | 472 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 30.64% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 154.05% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 24.79% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 50.74% | ||
| Return, trailing 1 day (out-of-sample) | 0.03% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | -0.34% | ||
| Return, trailing 1 week (out-of-sample) | -0.51% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 13.73% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 16.40% | ||
| Return, trailing 2 weeks (out-of-sample) | -1.03% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 0.91% | ||
| SPY annualized return over the backtest window (backtest) | 20.80% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 3.43 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 4.35 | ||
| Maximum drawdown, backtest period (backtest) | -8.92% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -5.70% | ||
| Sharpe ratio, backtest period (backtest) | 2.51 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 2.25 | ||
| Sortino ratio, backtest period (backtest) | 4.51 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 3.64 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 10.90% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 10.11% |
| Annualized turnover, backtest period (backtest) | 68.35 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 67.52 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 59.57% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 58.26% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
