-bk-I 8/13 200d LETF MA Risk On/Off inv
Today’s Change (Mar 17, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A rules‑based, risk‑on/risk‑off portfolio. It rides stock uptrends with leveraged leaders, but on dips or downtrends it pivots to T‑Bills, gold, a strong USD, bond trades, or gentle shorts. Uses simple trend and “overbought/oversold” gauges to switch.
How it worksIt first labels the market as risk‑on or risk‑off by checking if SPY/QQQ are above their long‑term average.
It uses RSI (a “speedometer” of recent moves) to flag dips (very low) and overheated spikes (very high).
Risk‑on: ride leaders with leveraged stock funds (e.g., TQQQ, UPRO; sometimes SOXL, FAS).
Risk‑off: shift to cash‑like T‑Bills (BIL/SHY), gold (GLD), a strong USD (USDU/UUP), or mild shorts (PSQ, QID, SQQQ); can hedge with VIXY/UVXY.
A bond sleeve flips between long Treasuries (TLT, TMF/UBT) when rates fall and inverse/dollar (TBT/TMV, USDU) when rates rise.
Value propOut-of-sample, this strategy delivers higher risk-adjusted return (Sharpe ~1.62) and ~38% annualized return vs ~27% for the S&P, with ~0.83 beta and ~20% max drawdown. A risk-on/risk-off, diversified approach that beats the S&P on efficiency.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.62 | 0.38 | 0.09 | 0.3 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 154.42% | 14.94% | -1.77% | 0.2% | 0.8 | |
| 7,681.66% | 91.42% | -1.29% | -5.04% | 2.63 |
Initial Investment
$10,000.00
Final Value
$778,166.47Regulatory Fees
$3,491.47
Total Slippage
$22,245.98
Invest in this strategy
OOS Start Date
Oct 31, 2023
Trading Setting
Threshold 2%
Type
Stocks
Category
Trend following,tactical allocation,leveraged etfs,risk-on/risk-off,volatility hedging,bonds and rates,multi-asset
Tickers in this symphonyThis symphony trades 96 assets in total
Ticker
Type
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
ANGL
VanEck Fallen Angel High Yield Bond ETF
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BKLN
Invesco Senior Loan ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
BSV
Vanguard Short-Term Bond ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
DBMF
iMGP DBi Managed Futures Strategy ETF
Stocks
DIA
State Street SPDR Dow Jones Industrial Average ETF Trust
Stocks