Composer · investment strategy
by Composer Technologies · via Composer
A daily, rules-based S&P 500 strategy: lever up in calm markets (UPRO, SSO), step down as swings rise, and add a big long‑Treasury hedge (ZROZ) only when short‑term bond trends (SHV) are positive; otherwise default to SPY.
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 2026-10-19
: 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.
3.2% of weight in (IVV: 3.0%)
1 fund (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. : 99% · 2026-10-19 ()
100.0% 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% · 2026-10-19 ()
2 of 5 funds in its are : SSO, UPRO
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 Aggressive risk 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 the S&P 500 (SPY). If price is above its 220‑day average: it looks at 21‑day volatility. Calm: use UPRO (~3× S&P). Moderate: SSO (~2×). Wild: if SHV (T‑bills) rose in the last month, hold 25% UPRO + 75% ZROZ (long Treasuries); else hold SPY. If SPY is below its 220‑day average: if SHV rose, use 25% UPRO + 75% ZROZ; else SPY.
A daily, rules-based S&P 500 strategy: lever up in calm markets (UPRO, SSO), step down as swings rise, and add a big long‑Treasury hedge (ZROZ) only when short‑term bond trends (SHV) are positive; otherwise default to SPY.
Out-of-sample edge: ~19.7% annualized return vs SPY ~17.8%, from dynamic leverage in calm markets and a bond-barbell hedge. Higher upside, but higher drawdowns (~41% vs ~19%).
(Created with Composer AI)
Every value on file, each labelled with its calculation basis and as-of date.
| Backtest final value (from $10,000) | $379k | 2026-10-19 | |
| Backtest regulatory fees | $293 | 2026-10-19 | |
| Backtest slippage cost | $2,172 | 2026-10-19 |
| AI categories (Composer) | equity–treasury barbell, leveraged etfs, s&p 500 focused, tactical allocation, trend-following, volatility targeting | ||
| Asset classes / instruments | equities |
| Logic complexity (node count) | 24 | 2026-10-19 | |
| Rebalance frequency | daily |
| Concentration (Herfindahl index, out-of-sample, as Composer reports it) | 0.97 | 2026-10-19 | |
| Ticker universe (assets the logic can hold) | show[ "SHV", "SPY", "SSO", "UPRO", "ZROZ" ] | 2026-10-19 |
| Alpha vs SPY, out-of-sample (out-of-sample) | -0.10 | 2026-10-19 | |
| Beta vs SPY, out-of-sample (out-of-sample) | 1.93 | 2026-10-19 | |
| Correlation (R) vs SPY, out-of-sample (out-of-sample) | 0.86 | 2026-10-19 |
| Remixes (copies) | 10 | 2026-10-19 | |
| Watchers | 5 | 2026-10-19 |
| Community review status | ACTIVE | 2026-10-19 |
| Backtest length | 4,263 | 2026-10-19 | |
| Out-of-sample length | 495 | 2026-10-19 | |
| Return, backtest period (annualized) (backtest) | 23.97% | 2026-10-19 | |
| Return, backtest period (cumulative) (backtest) | 3695% | 2026-10-19 | |
| Return, out-of-sample period (annualized) (out-of-sample) | 19.69% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 41.82% | ||
| Return, trailing 1 day (out-of-sample) | -3.36% | 2026-10-19 | |
| Return, trailing 1 month (out-of-sample) | 5.98% | ||
| Return, trailing 1 week (out-of-sample) | -4.63% | 2026-10-19 | |
| Return, trailing 1 year (backtest) | 26.23% | 2026-10-19 | |
| Return, trailing 1 year (out-of-sample) | 31.71% | ||
| Return, trailing 2 weeks (out-of-sample) | -3.65% | 2026-10-19 | |
| Return, trailing 3 months (out-of-sample) | 8.04% | ||
| SPY annualized return over the backtest window (backtest) | 14.49% | 2026-10-19 |
| Calmar ratio, backtest period (backtest) | 0.40 | 2026-10-19 | |
| Calmar ratio, out-of-sample period (out-of-sample) | 0.47 | ||
| Maximum drawdown, backtest period (backtest) | -59.60% | 2026-10-19 | |
| Maximum drawdown, out-of-sample period (out-of-sample) | -41.63% | ||
| Sharpe ratio, backtest period (backtest) | 0.76 | 2026-10-19 | |
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.67 | ||
| Sortino ratio, backtest period (backtest) | 1.05 | 2026-10-19 | |
| Sortino ratio, out-of-sample period (out-of-sample) | 0.83 | 2026-10-19 | |
| Standard deviation, backtest period (backtest) | 37.44% | 2026-10-19 | |
| Standard deviation, out-of-sample period (out-of-sample) | 37.38% |
| Annualized turnover, backtest period (backtest) | 9.67 | 2026-10-19 | |
| Annualized turnover, out-of-sample period (out-of-sample) | 4.58 | 2026-10-19 | |
| Daily win rate, backtest period (backtest) | 54.21% | 2026-10-19 | |
| Daily win rate, out-of-sample period (out-of-sample) | 52.93% | 2026-10-19 |
Composer Technologies · Composer
Composer Technologies · Composer
