Composer · investment strategy
by Composer Technologies · via Composer
Tactical ETF strategy that watches market “bumpiness” and whether it’s rising or falling. In calm times it owns growth/broad stocks; as turbulence rises it shifts to defensive assets or cash; in panics it may buy the most oversold sectors for a rebound.
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 Multi-asset 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.
1) It measures how bumpy the S&P 500 has been lately (volatility). That sorts markets into Quiet, Normal, High, or Extreme.<br>2) It then checks if that bumpiness is rising or falling.<br>3) Choices by regime:<br>- Quiet & calming: own growth/big US stocks (MGK, SPY/QQQ).<br>- Vol rising: rotate to defense/cash (staples/utilities/healthcare, Treasuries/GLD, SHY).<br>- Extreme: either sit in cash or buy 3 most oversold sectors (using RSI: a 0–100 “how stretched” score; low = oversold).
Tactical ETF strategy that watches market “bumpiness” and whether it’s rising or falling. In calm times it owns growth/broad stocks; as turbulence rises it shifts to defensive assets or cash; in panics it may buy the most oversold sectors for a rebound.
Out-of-sample edge: strong risk-adjusted gains (Calmar ~2.66) with max drawdown ~1.6%, vs S&P. A rules-based regime shift to defense/cash in turbulence, then oversold-sectors rebounds for steadier, more resilient growth.
This ETF is built off of two premises. 1 is that volatility/assets behave differently when volatility is at different levels. High vol tends to be different than low vol, so any signals should dynamically reflect this. 2 is that the volatility of volatility is a signal in and of itself. This algo combines these signals to build a long term very stable & low drawdown portfolio that can backtest deeper into 2007 with only a 5.8% drawdown. Use this as a base to layer on additional rules or to add more assets to the points that are not being traded. There is some asset allocations within here, but a lot of room for more testing and building this out further.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | mean reversion, risk-on/risk-off, sector rotation, tactical multi-asset, trend following, volatility targeting | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 4.28% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 0.40% | ||
| Return, trailing 1 month (out-of-sample) | 0.88% | ||
| 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) | 2.66 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -1.61% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.61 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 7.61% |
Composer Technologies · Composer
Composer Technologies · Composer
