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Today’s Change (Mar 17, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, rule-based mix of BIL, SVXY, UPRO, and UVXY driven by SVXY drawdown and SPY RSI; aims for equal-weighted allocations but uses high-risk levered/volatility ETFs, making it a very speculative, potentially overfit strategy.
- It rebalances daily among four ETFs: BIL, SVXY, UPRO, UVXY.
- Block 1 (volatility safety): compares SVXY’s recent performance (4-day max drawdown). If SVXY has fallen more than a 10% drop in that window, the system allocates to BIL (cash-like risk avoider); otherwise it stays with SVXY.
- Block 2 (SPY momentum tilt): uses SPY’s 10-day RSI. If RSI is greater than 30, it selects UPRO (a leveraged equity bet). If RSI is less than 70, it selects UVXY (a volatility bet). The two checks are layered in a way that determines which assets get exposure when rebalancing.
- The module uses “wt-cash-equal” ideas, implying an attempt to keep cash weight equal to the other positions at rebalancing.
- All decisions are executed daily, so weights can shift every trading day based on the current signals.
- Overall, it combines a safety gate (BIL vs SVXY) with an equity/volatility tilt (UPRO vs UVXY) driven by simple indicators, and then sizes positions to achieve an equal-weight-ish allocation.
High-upside, rule-based strategy. Daily rebalances among BIL, SVXY, UPRO and UVXY deliver out-of-sample ~33.6% vs SPY ~21.2%, with risk controls. Expect higher drawdowns (~44% vs ~19%) and higher beta—potential for sizable gains within a diversified portfolio.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.48 | 1.64 | 0.25 | 0.5 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 645.02% | 14.96% | -2.02% | -1.16% | 0.92 | |
| 415,707.83% | 78.36% | -11.44% | -10.95% | 1.33 |
Initial Investment
$10,000.00
Final Value
$41,580,783.06Regulatory Fees
$115,787.15
Total Slippage
$821,382.54
Invest in this strategy
OOS Start Date
Jun 14, 2023
Trading Setting
Daily
Type
Stocks
Category
Quantitative, rule-based, high-risk, volatility-leverage, tactical asset allocation
Tickers in this symphonyThis symphony trades 5 assets in total