Composer · investment strategy
by Composer Technologies · via Composer
A daily risk-on/risk-off ETF strategy. Uses SPY vs SPLV to set the regime. Risk-on: semis, brokers, insurance, medical devices, short yen. Risk-off: 2× semis on oversold signals, else rotate into gold/defensives or a mild risk mix via short-term trends.
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.
“Otherwise hold hedges (GLD, XLU, XLP, plus inverse ETFs)”
“buy a fast 2× semis ETF (USD)”
“Daily it checks”
“a mild risk mix (SOXX, XLE, IEI) using short‑term trend checks”
“if tech (QQQ) or junk bonds (JNK) are oversold by RSI (a simple recent‑selling gauge), buy a fast 2× semis ETF (USD)”
6 positions as of 2026-10-11
: 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.
0.0% of weight in (IVV: 3.0%)
4 funds (SEC N-PORT, as of 2026-06-30)
No stated fossil-fuel rule; the exposure is shown for reference. : 98% · 2026-10-11 ()
20.1% of weight in (SPY: 0%)
Its stated rules make a claim, and its holdings back it up. : 100% · 2026-10-11 ()
5 of 19 funds in its are : DUG, EUM, RWM, USD, YCS
Its stated rules make a claim, and its holdings back it up. : 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.
2 missing
The text the rules are quoted from, with where it came from.
Daily it checks: have low‑vol stocks (SPLV) beaten the S&P 500 (SPY) over ~75 days? If no, it’s risk‑on: hold KIE (insurance), IHI (medical devices), SOXX (semis), IAI (brokers), YCS (short yen).<br>If yes (risk‑off), it hunts rebounds: if tech (QQQ) or junk bonds (JNK) are oversold by RSI (a simple recent‑selling gauge), buy a fast 2× semis ETF (USD). Otherwise hold hedges (GLD, XLU, XLP, plus inverse ETFs) or a mild risk mix (SOXX, XLE, IEI) using short‑term trend checks (recent‑return averages).
A daily risk-on/risk-off ETF strategy. Uses SPY vs SPLV to set the regime. Risk-on: semis, brokers, insurance, medical devices, short yen. Risk-off: 2× semis on oversold signals, else rotate into gold/defensives or a mild risk mix via short-term trends.
Out-of-sample, this strategy targets higher upside with less risk: ~54% annualized return vs ~18.7% for the S&P, max drawdown ~6.4% vs ~18.8%, and stronger risk-adjusted metrics (Calmar ~8.5; Sharpe ~1.64 vs ~1.14).
Currently using SPLV in place of XLU for primary risk determining test. But this can be replaced with XLU to backtest to 2008.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $766k | 2026-10-11 | |
| Backtest regulatory fees | $1,334 | 2026-10-11 | |
| Backtest slippage cost | $8,965 | 2026-10-11 |
| AI categories (Composer) | daily rebalancing, defensive hedging, long/short, mean reversion, momentum, risk-on/risk-off, tactical etfs | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 53 | 2026-10-11 | |
| Rebalance frequency | daily | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.21 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "DUG", "EUM", "GLD", "IAI", "IEI", "IHI", "JNK", "KCE", "KIE", "QQQ", "RWM", "SOXX", "SPLV", "SPY", "USD", "XLE", "XLP", "XLU", "YCS" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.27 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.08 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.61 | 2026-10-11 |
| Remixes (copies) | 149 | 2026-10-11 | |
| Watchers | 75 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 3,805 | 2026-10-11 | |
| Out-of-sample length | 539 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 33.28% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 7565% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 54.41% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 153.70% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.29% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | -0.66% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 0.23% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 29.01% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 29.01% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | -0.19% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | -4.48% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 15.67% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 2.28 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 8.48 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -14.58% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -6.41% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 1.60 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.64 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 3.38 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 5.30 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 19.04% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 28.80% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 23.57 | 2026-10-11 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 22.29 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 55.61% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 56.03% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
