Composer · investment strategy
by Composer Technologies · via Composer
A daily, contrarian switch between TLT (Treasury bonds) and XLP (consumer‑staples): buy the one that looks most oversold on a 5‑day RSI. The many other signals in the code are present but inactive.
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.
6 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.
0.1% of weight in (IVV: 3.0%)
3 funds (SEC N-PORT, as of 2026-05-31)
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 ()
18.2% 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 12 funds in its are : TQQQ
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 Conservative risk label, from other sources first, strongest risk-adjusted return first.
Interactive Advisors
Quantbase
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.
Daily, it compares two ETFs: TLT (long‑term US Treasury bonds) and XLP (big consumer‑staples stocks). It calculates a 5‑day RSI, a quick 0–100 score of recent up vs. down days; lower = more “beaten down.” It buys 100% of the one with the lower RSI, then rechecks next day. All other tickers you see (TQQQ, NVDA, KMLM, BTAL, VIXM, LLY, PGR, QQQ, BIL) are in rules that are currently turned off.
A daily, contrarian switch between TLT (Treasury bonds) and XLP (consumer‑staples): buy the one that looks most oversold on a 5‑day RSI. The many other signals in the code are present but inactive.
Out-of-sample: annualized return ~34.29% vs ~26.97% for the S&P 500, Sharpe ~1.96, Calmar ~4.59, and max drawdown ~7.47% vs ~8.89%. Higher risk-adjusted upside with lower downside via a daily RSI-based TLT/XLP rotation.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $85k | 2026-10-19 | |
| Backtest regulatory fees | $177 | 2026-10-19 | |
| Backtest slippage cost | $1,204 | 2026-10-19 |
| AI categories (Composer) | daily rebalancing, defensive etfs (treasuries, mean reversion, rsi rotation, staples) | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 48 | 2026-10-19 | |
| Rebalance frequency | daily |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.27 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "BIL", "BTAL", "KMLM", "LLY", "NVDA", "PGR", "QQQ", "TLT", "TQQQ", "VIXM", "XLP", "XLU" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | 0.04 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.06 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.83 | 2026-10-19 |
| Remixes (copies) | 34 | 2026-10-19 | |
| Watchers | 24 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 1,460 | 2026-10-19 | |
| Out-of-sample length | 362 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 44.58% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 747.64% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 34.29% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 51.85% | ||
| Return, trailing 1 day (out-of-sample) | -1.81% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | 0.51% | ||
| Return, trailing 1 week (out-of-sample) | -2.15% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 19.37% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 22.92% | ||
| Return, trailing 2 weeks (out-of-sample) | -2.49% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | -0.10% | ||
| SPY annualized return over the backtest window (backtest) | 15.02% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 3.00 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 4.59 | ||
| Maximum drawdown, backtest period (backtest) | -14.88% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -7.47% | ||
| Sharpe ratio, backtest period (backtest) | 2.05 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.96 | ||
| Sortino ratio, backtest period (backtest) | 3.36 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.79 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 18.84% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 15.68% |
| Annualized turnover, backtest period (backtest) | 25.07 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 25.69 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.59% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.25% | 2026-10-19 |
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