Composer · investment strategy
by Composer Technologies · via Composer
Binary, daily strategy: if XLP’s 10‑day RSI is above 75, move 100% into UVXY to bet on a volatility pop; otherwise stay in BIL (cash‑like T‑bills). Uses consumer‑staples “overbought” as an early warning for a short‑term pullback.
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 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.
6 missing
The text the rules are quoted from, with where it came from.
Each day it looks at XLP, an ETF of consumer‑staples stocks (e.g., Procter & Gamble, Coca‑Cola). It computes a 10‑day RSI, a 0–100 score of how fast price has risen; above 75 = “overbought.” If RSI > 75, it puts 100% into UVXY, a fund that jumps when market fear/volatility spikes. Otherwise it sits in BIL, a T‑bill (cash‑like) ETF. This is a contrarian, high‑risk bet that an overheated staples sector precedes a near‑term wobble.
Binary, daily strategy: if XLP’s 10‑day RSI is above 75, move 100% into UVXY to bet on a volatility pop; otherwise stay in BIL (cash‑like T‑bills). Uses consumer‑staples “overbought” as an early warning for a short‑term pullback.
Near-SPX returns in OOS (18.35% vs 18.61%), with diversification from a negative SPY beta and Calmar ~1.05. Drawdowns can be larger (~17%), so this works best as a volatility-diversifier, not your sole equity core.
Every value on file, each labelled with its calculation basis and as-of date.
| AI categories (Composer) | cash vs uvxy, daily rebalance, rsi overbought signal, tactical allocation, volatility timing | ||
| Asset classes / instruments | equities |
| Rebalance frequency | daily |
| Return, out-of-sample period (annualized) (out-of-sample) | 18.35% | ||
| Return, out-of-sample period (cumulative) (out-of-sample) | 13.17% | ||
| Return, trailing 1 month (out-of-sample) | 0.34% | ||
| Return, trailing 1 year (out-of-sample) | -31.65% | ||
| Return, trailing 3 months (out-of-sample) | 0.95% |
| Calmar ratio, out-of-sample period (out-of-sample) | 1.05 | ||
| Maximum drawdown, out-of-sample period (out-of-sample) | -17.42% | ||
| Sharpe ratio, out-of-sample period (out-of-sample) | 0.66 | ||
| Standard deviation, out-of-sample period (out-of-sample) | 34.41% |
Composer Technologies · Composer
Composer Technologies · Composer
