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A Foolish Endeavor
Today’s Change

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.
NutHow it works
- 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.
CheckmarkValue prop
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
AlphaBetaR2R
0.481.640.250.5
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe 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
$41,580,783.06
Regulatory 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
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
UPRO
ProShares UltraPro S&P 500
Stocks
UVXY
ProShares Ultra 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.

"A Foolish Endeavor" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"A Foolish Endeavor" is currently allocated toSVXY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "A Foolish Endeavor" has returned 24.64%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "A Foolish Endeavor" is 44.52%. 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 "A Foolish Endeavor", 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.