Composer · investment strategy
by Composer Technologies · via Composer
A monthly, equal-sleeve trend strategy in SPY (S&P 500), QQQ (big tech), and IWM (small caps). Each sleeve holds its ETF when the last ~30 trading days are net positive; otherwise it shifts to cash-like T‑Bills (BIL) or Treasuries (IEF) for protection.
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.
2 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.
0.2% of weight in (IVV: 3.0%)
2 funds (SEC N-PORT, as of 2026-05-31) · : QQQ via QQQM
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 99% · 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 5 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 Technology 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.
4 missing
The text the rules are quoted from, with where it came from.
Each month, your money is split into 3 equal parts (sleeves).<br>- Sleeve 1: If the S&P 500 (SPY) had a net-positive last ~30 trading days, hold SPY; otherwise hold T‑Bills (BIL).<br>- Sleeve 2: If big tech (QQQ) is up over ~30 days, hold QQQ; otherwise hold 7–10 yr US Treasuries (IEF).<br>- Sleeve 3: If small caps (IWM) are up, hold IWM; otherwise hold BIL.<br>Goal: ride uptrends, hide in safer assets when trends turn down.
A monthly, equal-sleeve trend strategy in SPY (S&P 500), QQQ (big tech), and IWM (small caps). Each sleeve holds its ETF when the last ~30 trading days are net positive; otherwise it shifts to cash-like T‑Bills (BIL) or Treasuries (IEF) for protection.
Three-sleeve momentum with defensive hedges: out-of-sample, lower drawdowns (~6.8% vs 13.7%), better risk-adjusted returns (Sharpe ~1.58, Calmar ~3.0), beta ~0.41, ~20.4% annualized vs SPY's 24.5%.
https://portfoliodb.co/portfolios/generalized-protective-momentum/
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $38k | 2026-10-19 | |
| Backtest regulatory fees | $42 | 2026-10-19 | |
| Backtest slippage cost | $325 | 2026-10-19 |
| AI categories (Composer) | defensive overlay, momentum, risk-managed equities, tactical asset allocation, trend-following | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 14 | 2026-10-19 | |
| Rebalance frequency | monthly |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.40 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "BIL", "IEF", "IWM", "QQQ", "SPY" ] | 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) | 0.41 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.57 | 2026-10-19 |
| Remixes (copies) | 13 | 2026-10-19 | |
| Watchers | 12 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 4,878 | 2026-10-19 | |
| Out-of-sample length | 405 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 7.12% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 278.98% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 20.39% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 34.26% | ||
| Return, trailing 1 day (out-of-sample) | -0.80% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | 1.96% | ||
| Return, trailing 1 week (out-of-sample) | -1.19% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 8.50% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 10.59% | ||
| Return, trailing 2 weeks (out-of-sample) | -1.59% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 0.87% | ||
| SPY annualized return over the backtest window (backtest) | 10.68% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.25 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 2.99 | ||
| Maximum drawdown, backtest period (backtest) | -28.21% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -6.82% | ||
| Sharpe ratio, backtest period (backtest) | 0.57 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.58 | ||
| Sortino ratio, backtest period (backtest) | 0.79 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.23 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 13.69% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 12.22% |
| Annualized turnover, backtest period (backtest) | 4.96 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 3.10 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.65% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 54.81% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
