Composer
Diversification at its Best
Fragile
“Each month, hold an asset only if its short-term average price is above its 200-day average; otherwise sit in T-bills (SHV).”
From Composer
As tested: Monthly, 20% each in SPY, EFA, IEF, DBC and VNQ while its 21-day average is above its 200-day, else that 20% sits in SHV.
Holding today: SHV 40% · SPY 20% · EFA 20% · DBC 20% · last switch Oct 12, 2026
Edge per month-0.75 pts/mopts per month vs SPY
t-stat-2.4595% range -1.35 to -0.15
Months120Nov 1, 2016 – Oct 12, 2026
CAGR6.7%SPY 15.8%
Max drawdown-22.6%SPY -33.8%
Since published-0.64 pts/mo56 months from Feb 13, 2022; -0.91 pts/mo before
Last 12 months+0.98 pts12 months, summed
Why fragile
- t-stat -2.45 is inside the noise
- 99% of resamples have no edge
- only 0% of nudged versions keep the edge, so it's a lucky setting
- the edge vanished after publication: -0.64 since it was published in 2022-02, vs -0.91 before
Growth of $1
Diversification at its BestSPY
Log scale. Traded at the next open after each signal, monthly rebalance, slippage on every trade.
Year by year
2016
-2.61 pts/mo2
2017
-0.83 pts/mo12
2018
+0.15 pts/mo12
2019
-1.44 pts/mo12
2020
-2.16 pts/mo12
2021
-0.40 pts/mo12
2022
+1.40 pts/mo12
2023
-1.64 pts/mo12
2024
-1.42 pts/mo12
2025
-0.77 pts/mo12
2026
+0.02 pts/mo10