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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

Binary switch: If KMLM’s 20‑day drop from a recent high is >5%, hold SVXY (short volatility). If not, hold BIL (T‑bills). KMLM is only a signal; the portfolio owns either SVXY or BIL, not both.
NutHow it works
It watches KMLM, a trend‑following fund used only as a thermometer. Each day it looks back ~1 month (20 trading days) and asks: How much has KMLM dropped from a recent high? If that max drop is over 5%, it buys SVXY (bets on falling volatility). Otherwise it holds BIL (T‑bills).
CheckmarkValue prop
Out-of-sample, this strategy delivers superior risk-adjusted performance with far lower drawdown than the S&P 500: Calmar 2.21, Sharpe ~1.30 vs SPY 1.06, drawdown 4.38% vs 18.76%, annualized return 9.68% vs 18.60% — better resilience, smoother growth.

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Invest in this strategy
OOS Start Date
Aug 16, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Volatility-timing, short-volatility, risk-on/risk-off, managed-futures-signal, market-regime, tactical-allocation, t-bills
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.

"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 9.28%. 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, and options.