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Symphonies
60d SPY RSI VIXY else BIL
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Risk-on/risk-off switch using SPY’s 60‑day RSI. If strong (>60), buy either VIXY (long vol) or SVIX (short vol) based on the recent laggard, aiming for a short-term bounce. Otherwise sit in BIL (T‑bills). All‑in, high risk.
NutHow it works
It checks if the S&P 500 (SPY) has been strong over ~3 months using RSI—a 0–100 score of recent up vs down days. If RSI > 60, it buys one volatility fund: VIXY (rises when market volatility jumps) or SVIX (rises when volatility calms)—whichever lagged over ~2 weeks. If not, it holds BIL (T‑bills).
CheckmarkValue prop
Volatility-based diversification: a regime-filtered strategy with near-zero SPY beta. Out-of-sample: ~7.4% annualized return and Calmar ~0.30, offering a different risk/return profile than the S&P 500’s ~18% with added diversification potential.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.2-0.050-0.05
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
54.61%11.77%-5.67%-5.04%0.72
60d SPY RSI VIXY else BIL
99.76%19.32%0.28%0.86%1.11
Initial Investment
$10,000.00
Final Value
$19,975.54
Regulatory Fees
$33.43
Total Slippage
$211.66
Invest in this strategy
OOS Start Date
Mar 27, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical allocation, volatility trading, mean reversion, market timing, risk-on/risk-off, t-bills
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVIX
-1x Short VIX Futures ETF
Stocks
VIXY
ProShares 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.

"60d SPY RSI VIXY else BIL" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"60d SPY RSI VIXY else BIL" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "60d SPY RSI VIXY else BIL" has returned 7.13%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "60d SPY RSI VIXY else BIL" is 24.64%. 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 "60d SPY RSI VIXY else 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.