Composer · investment strategy
by Composer Technologies · via Composer
Daily flip between SVXY and BIL. Hold SVXY only if its worst drop in the past 3 days is under ~5%; otherwise stay in BIL (T-bills). SVXY tends to rise when volatility is calm but can fall quickly when volatility spikes.
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 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.
6 missing
The text the rules are quoted from, with where it came from.
Each day the strategy checks SVXY’s recent behavior. If SVXY hasn’t dropped more than about 5% from a recent high over the last 3 days, it holds SVXY. If that drop was worse, it holds BIL (short-term Treasury bills) instead.<br>Note: a 5-day average-price check exists but is currently turned off.
Daily flip between SVXY and BIL. Hold SVXY only if its worst drop in the past 3 days is under ~5%; otherwise stay in BIL (T-bills). SVXY tends to rise when volatility is calm but can fall quickly when volatility spikes.
Disciplined, rules-based satellite strategy that toggles SVXY and BIL with a 3-day, 5% drawdown gate. Backed by out-of-sample testing, it offers volatility-aware diversification and risk control to complement the S&P 500.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | daily rebalance, inverse vix, market timing, risk filter, t-bills, tactical allocation, volatility | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 13.11% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 23.02% | ||
| Return, trailing 1 month (out-of-sample) | 3.71% | ||
| Return, trailing 1 year (out-of-sample) | 10.12% | ||
| Return, trailing 3 months (out-of-sample) | 12.10% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.45 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -29.26% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.58 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 28.54% |
Composer Technologies · Composer
Composer Technologies · Composer
