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Symphonies
20d BND vs 60d SH (XLK/XLP) + L/S Rotator
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, risk‑on/risk‑off strategy. It compares bond strength to short‑S&P strength. In healthier conditions it favors tech (XLK) or staples (XLP). In stress it either buys deeply oversold tech or rotates into a calm mix of Treasuries, volatility, gold, and T‑bills.
NutHow it works
Daily: If bonds’ 20‑day strength (BND) beats the 60‑day strength of being short stocks (SH), go to sectors: if the S&P 500 (SPY) is above its 200‑day trend, buy tech (XLK); if below, buy tech only if the Nasdaq‑100 (QQQ) is very oversold; else buy staples (XLP). If bonds don’t win: still buy tech if QQQ is very oversold; otherwise hold the 4 calmest of {TMF, TMV, SVXY, VIXM, GLD, BIL}. RSI = a 0–100 recent‑momentum score; low = oversold. 200‑day average ≈ long‑term trend. Tickers: XLK=tech; XLP=consumer staples; BND=bonds; SH=short S&P 500; SPY=S&P 500; QQQ=Nasdaq‑100; TMF/TMV=leveraged long/short Treasuries; SVXY/VIXM=volatility; GLD=gold; BIL=T‑bills.
CheckmarkValue prop
Out-of-sample edge: ~24.5% annualized return with near-market beta, lower drawdown (17.2% vs 18.8%), and Calmar ~1.43—delivering stronger risk-adjusted gains than the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.160.680.450.67
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
631.74%15.11%-0.24%3.99%0.92
20d BND vs 60d SH (XLK/XLP) + L/S Rotator
3,145.57%27.89%-2.23%6.23%1.53
Initial Investment
$10,000.00
Final Value
$324,557.17
Regulatory Fees
$799.11
Total Slippage
$5,061.43
Invest in this strategy
OOS Start Date
Apr 15, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, momentum, trend-following, sector rotation, risk-on/risk-off, volatility/treasury/gold basket
Tickers in this symphonyThis symphony trades 12 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SH
ProShares Short S&P500
Stocks
SPY
SPDR S&P 500 ETF Trust
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
TMF
Direxion Daily 20+ Year Treasury Bull 3X Shares (based on the NYSE 20 Year Plus Treasury Bond Index; symbol AXTWEN)
Stocks
TMV
Direxion Daily 20+ Year Treasury Bear 3X Shares (based on the NYSE 20 Year Plus Treasury Bond Index; symbol AXTWEN)
Stocks
VIXM
ProShares VIX Mid-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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toXLK. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 24.52%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 17.17%. 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 the symphony, 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.