Composer · investment strategy
by Composer Technologies · via Composer
A volatility hedge that scales into VIXM as fear rises and parks in SHV when fear is extreme, using 10‑day RSI of VIXM/VIXY with stepwise bands and an inverse‑vol default mix.
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 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.
6 missing
The text the rules are quoted from, with where it came from.
Tickers: VIXM = ETF linked to stock‑market fear (VIX) that jumps in selloffs; VIXY = even faster version used as a warning; SHV = ultra‑short U.S. Treasuries (cash‑like). RSI = 0–100 gauge of recent price speed; high = fear spiking.<br>Rules (10‑day RSI): if VIXY >85 → move to SHV to lock gains. Else if VIXM >80 → split SHV/VIXM. >75 → mostly VIXM. >72.5 → half VIXM. >70 → 25% VIXM. Otherwise use a low‑risk mix (inverse‑vol, 15‑day) of VIXM/SHV.
A volatility hedge that scales into VIXM as fear rises and parks in SHV when fear is extreme, using 10‑day RSI of VIXM/VIXY with stepwise bands and an inverse‑vol default mix.
Out-of-sample, this volatility-hedge strategy outperforms the S&P on risk-adjusted terms: Sharpe ~10.7 vs ~6.5, max drawdown ~2.7% vs much larger, and a high Calmar ratio. It protects capital in fear spikes while capturing upside in calm markets.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | risk management, tactical allocation, treasuries, vix futures, volatility hedge | ||
| Asset classes / instruments | equities |
| Rebalance corridor width | 10.00% | ||
| Rebalance frequency | none |
| Return, out-of-sample period (annualized) (out-of-sample) | 3.45% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 0.13% | ||
| Return, trailing 1 month (out-of-sample) | 0.00% | ||
| Return, trailing 1 year (out-of-sample) | 0.00% | ||
| Return, trailing 3 months (out-of-sample) | 0.00% |
| Calmar ratio, out-of-sample period (out-of-sample) | 128.91 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -0.03% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 10.69 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 0.35% |
Composer Technologies · Composer
Composer Technologies · Composer
