Composer · investment strategy
by Composer Technologies · via Composer
A daily switch between SPY (broad US stocks) and XLP (defensive consumer staples) based on bond moves: if long Treasuries (TLT) dropped more than short Treasuries (SHY) over ~11 days, hold SPY; otherwise hold XLP.
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.
1 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.
3.0% of weight in (IVV: 3.0%)
1 fund (SEC N-PORT, as of 2026-06-30) · : SPY via IVV
This strategy’s rules haven’t been extracted yet, so there’s no claim to compare with. The measurement is still shown. : 99% · 2026-10-11 ()
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% · 2026-10-11 ()
0 of 4 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 Macro signals 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.
4 missing
The text the rules are quoted from, with where it came from.
Each day it checks which Treasury bond fund had the bigger worst dip over ~2 weeks: TLT (long‑term Treasuries) or SHY (short‑term Treasuries). If TLT fell more than SHY, it holds SPY (broad US stocks). Otherwise it holds XLP (consumer‑staples, a defensive stock sector). It never holds TLT/SHY; they’re just the signal.
A daily switch between SPY (broad US stocks) and XLP (defensive consumer staples) based on bond moves: if long Treasuries (TLT) dropped more than short Treasuries (SHY) over ~11 days, hold SPY; otherwise hold XLP.
Strong risk-adjusted upside vs S&P: oos Sharpe ~1.41, Calmar ~1.22, ~22.95% annualized return, with a simple daily SPY/XLP rotation. Transparent, rules-based, and market-adaptive.
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $137k | 2026-10-11 | |
| Backtest regulatory fees | $8 | 2026-10-11 | |
| Backtest slippage cost | $64 | 2026-10-11 |
| AI categories (Composer) | daily rebalance, defensive tilt, risk-on/off, tactical equity rotation, treasury-driven signal, us large-cap | 2026-10-11 | |
| Asset classes / instruments | equities | 2026-10-11 |
| Logic complexity (node count) | 6 | 2026-10-11 | |
| Rebalance frequency | daily | 2026-10-11 |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 1 | 2026-10-11 | |
| Ticker universe (assets the logic can hold) | show[ "SHY", "SPY", "TLT", "XLP" ] | 2026-10-11 |
| Alpha vs SPY, out-of-sample (out-of-sample) | -0.00 | 2026-10-11 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.00 | 2026-10-11 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 1 | 2026-10-11 |
| Remixes (copies) | 14 | 2026-10-11 | |
| Watchers | 6 | 2026-10-11 |
| Community review status | ACTIVE | 2026-10-11 |
| Backtest length | 6,080 | 2026-10-11 | |
| Out-of-sample length | 1,003 | 2026-10-11 | |
| Return, backtest period (annualized) (backtest) | 11.47% | 2026-10-11 | |
| Return, backtest period (cumulative) (backtest) | 1273% | 2026-10-11 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 22.95% | 2026-10-11 | |
| Return, out-of-sample period (cumulative) (out-of-sample) | 127.75% | 2026-10-11 | |
| Return, trailing 1 day (out-of-sample) | 0.60% | 2026-10-11 | |
| Return, trailing 1 month (out-of-sample) | 2.37% | 2026-10-11 | |
| Return, trailing 1 week (out-of-sample) | 1.16% | 2026-10-11 | |
| Return, trailing 1 year (backtest) | 17.26% | 2026-10-11 | |
| Return, trailing 1 year (out-of-sample) | 17.26% | 2026-10-11 | |
| Return, trailing 2 weeks (out-of-sample) | 0.94% | 2026-10-11 | |
| Return, trailing 3 months (out-of-sample) | 3.83% | 2026-10-11 | |
| SPY annualized return over the backtest window (backtest) | 11.30% | 2026-10-11 |
| Calmar ratio, backtest period (backtest) | 0.21 | 2026-10-11 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.22 | 2026-10-11 | |
| Maximum drawdown, backtest period (backtest) | -54.51% | 2026-10-11 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -18.76% | 2026-10-11 | |
| Sharpe ratio, backtest period (backtest) | 0.67 | 2026-10-11 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 1.41 | 2026-10-11 | |
| Sortino ratio, backtest period (backtest) | 0.96 | 2026-10-11 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 2.16 | 2026-10-11 | |
| Standard deviation, backtest period (backtest) | 18.70% | 2026-10-11 | |
| Standard deviation, out-of-sample period (out-of-sample) | 15.54% | 2026-10-11 |
| Annualized turnover, backtest period (backtest) | 0.58 | 2026-10-11 | |
| Daily win rate, backtest period (backtest) | 55.05% | 2026-10-11 | |
| Daily win rate, out-of-sample period (out-of-sample) | 55.33% | 2026-10-11 |
Composer Technologies · Composer
Composer Technologies · Composer
