Composer · investment strategy
by Composer Technologies · via Composer
Buys, each day, the 15 biggest short‑term fallers among the 100 largest S&P 500 companies, splitting money equally, aiming for quick rebounds (mean reversion).
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 Mean reversion 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.
6 missing
The text the rules are quoted from, with where it came from.
Each day, it looks at the 100 biggest U.S. stocks (think Apple, Microsoft, Google, Amazon, etc.). For each, it checks how far today’s price is below its highest price in the last 3 trading days. It buys the 15 that fell the most, splits the money evenly, and repeats the process the next day.<br>Tickers are just the stock symbols (e.g., AAPL = Apple).
Buys, each day, the 15 biggest short‑term fallers among the 100 largest S&P 500 companies, splitting money equally, aiming for quick rebounds (mean reversion).
Diversified mega-cap contrarian sleeve with low beta (~0.38) and modest OOS risk metrics (Sharpe ≈0.29, Calmar ≈0.43). A portfolio diversifier that may reduce risk in choppy markets, even if raw OOS returns trail the S&P.
Daily contrarian strategy that buys the 15 most oversold stocks from the top 100 S&P 500 companies by market cap, based on 3-day maximum drawdown. Targets mean reversion by rotating into mega-cap stocks that have fallen the most over the past 3 days.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | contrarian, daily rotation, equal-weight, large-cap, mean reversion, s&p 500, short-term, us equities | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 2.91% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 0.86% | ||
| Return, trailing 1 month (out-of-sample) | 3.31% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 1.34% |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.43 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -6.80% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.29 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 13.17% |
Composer Technologies · Composer
Composer Technologies · Composer
