Composer
SPY or bonds (homepage example)
Fragile
“Is the 20-day cumulative return of SPY higher than 2%? Buy SPY. If not, buy BND.”
From Composer
As tested: Daily: SPY's 20-day return above 2% → SPY, else BND.
Holding today: SPY 100% · last switch Oct 12, 2026
Edge per month-0.88 pts/mopts per month vs SPY
t-stat-3.0395% range -1.45 to -0.31
Months120Nov 1, 2016 – Oct 12, 2026
CAGR4.9%SPY 15.8%
Max drawdown-30.9%SPY -33.8%
Last 12 months-12.73 pts12 months, summed
Why fragile
- t-stat -3.03 is inside the noise
- 100% of resamples have no edge
- only 0% of nudged versions keep the edge, so it's a lucky setting
- one half carries it (-1.05 before 2021, -0.71 after)
Growth of $1
SPY or bonds (homepage example)SPY
Log scale. Traded at the next open after each signal, daily rebalance, slippage on every trade.
Year by year
2016
-3.04 pts/mo2
2017
-1.32 pts/mo12
2018
-0.13 pts/mo12
2019
-0.73 pts/mo12
2020
-0.46 pts/mo12
2021
-2.38 pts/mo12
2022
-0.21 pts/mo12
2023
-0.55 pts/mo12
2024
-1.15 pts/mo12
2025
-0.44 pts/mo12
2026
-1.11 pts/mo10