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Symphonies
10D CR KMLM
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A simple on/off switch: if KMLM drops >~2% over the last 10 days, go into SVXY (a fund that benefits when market volatility calms). Otherwise sit in BIL (T‑bills). High risk when in SVXY; otherwise cash‑like.
NutHow it works
It watches KMLM’s past 10 trading‑day return. KMLM is a trend‑following “managed futures” fund across commodities, currencies, and bonds, used here as a market weather vane. If it fell more than ~2% in 10 days, buy SVXY (profits when stock‑market turbulence eases). Otherwise hold BIL (cash‑like T‑bills). Checked daily; switches only when the rule flips.
CheckmarkValue prop
Out-of-sample, this strategy offers steadier, downside-controlled growth: max drawdown ~10.4% vs SPY ~18.8%, Calmar ~1.14, and ~11.9% annualized return—lower risk and resilience in turbulence, with solid risk-adjusted gains vs the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.220.30.120.34
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
101.02%14.77%2.19%5.01%0.9
10D CR KMLM
267.87%29.31%0.32%0.69%1.83
Initial Investment
$10,000.00
Final Value
$36,787.10
Regulatory Fees
$69.16
Total Slippage
$441.42
Invest in this strategy
OOS Start Date
Aug 16, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Volatility shorting, tactical timing, managed futures signal, risk-on/risk-off
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks

FAQ

A Composer symphony is an automated trading strategy that executes trades based on parameters of your choice. Some symphonies are similar to holding one ETF in normal conditions and rotating to a different ETF when market conditions shift, for example a 5% drop in the S&P 500, while others use complex rules with dozens of triggers. However, complex doesn’t always mean better. A simple, well-structured symphony can be just as effective as an intricate one. Learn more about how symphonies work here.

"10D CR KMLM" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"10D CR KMLM" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "10D CR KMLM" has returned 11.88%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "10D CR KMLM" is 10.42%. The maximum drawdown measures the largest peak-to-trough decline. It's an important metric to evaluate risk and the strategy's behavior during market stress.

To invest in "10D CR KMLM", simply click the Invest button on this page. You'll need to open an account with Composer if you don't have one yet, then you can start investing. Composer will automatically execute the trades for you based on the strategy's rules. Composer also supports trading individual stocks, ETFs, crypto, and options.