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Symphonies
20D Max Drawdown of KMLM -> SVXY or BIL
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Uses KMLM’s recent worst drop as a market‑regime switch: if KMLM fell >5% in ~1 month, buy SVXY (short volatility). Otherwise, sit in BIL (T‑bills). Very risky when in SVXY; conservative when in BIL.
NutHow it works
It watches KMLM (a managed‑futures fund). Each day it measures KMLM’s “max drawdown” over the last 20 trading days—the biggest peak‑to‑trough drop. If that drop is over 5%, it goes 100% into SVXY (goes up when market volatility falls). Otherwise it holds BIL (T‑bills).
CheckmarkValue prop
Risk-aware choice: much lower drawdowns with stronger risk-adjusted returns than the S&P 500. OOS Sharpe 1.31 vs 1.05; max drawdown 4.38% vs 18.76%; 10.33% annualized with diversification benefits (SPY higher raw return but greater risk).
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.20.220.10.31
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
96.52%14.73%1.36%5.73%0.89
20D Max Drawdown of KMLM -> SVXY or BIL
210.06%25.88%0.33%0.98%1.94
Initial Investment
$10,000.00
Final Value
$31,006.48
Regulatory Fees
$22.24
Total Slippage
$141.87
Invest in this strategy
OOS Start Date
Aug 16, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Regime-switching, volatility, tactical, risk-on/risk-off, managed-futures-signal, cash
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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.

"20D Max Drawdown of KMLM -> SVXY or BIL" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"20D Max Drawdown of KMLM -> SVXY or BIL" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "20D Max Drawdown of KMLM -> SVXY or BIL" has returned 10.33%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "20D Max Drawdown of KMLM -> SVXY or BIL" is 4.38%. 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 "20D Max Drawdown of KMLM -> SVXY or BIL", 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.