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Symphonies
[Backtest] Vol Hedge Momentum
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A rules‑based, three‑sleeve, multi‑asset plan that rides stock uptrends (via S&P 500, sometimes 2x) and goes defensive in downtrends with Treasuries, cash, gold, dollar, commodities—or even short tech. Signals use moving averages and RSI.
NutHow it works
3 sleeves: 10% buys the strongest movers (by 70‑day RSI) from volatility, dollar, gold, bonds, commodities, stocks. 20% owns the top 4‑month performers across assets. 70% follows stock trends: when up, hold S&P 500 (2x via SSO) + Treasuries; when down, rotate to bonds, cash, gold, staples, short Nasdaq. Signals: moving averages and RSI (0–100 strength gauge). IEF=7‑10y Treas., SHV/SHY=T‑bills, GLD=gold, DBC=commod., UUP=$, FXE=€, XLK=tech, XLP=staples, VIXY/M=vol., PSQ=short Nasdaq.
CheckmarkValue prop
Out-of-sample edge: Sharpe 1.73 vs 1.40; Calmar 2.56; drawdown 8.5% vs 18.8%. Return 21.78% vs 22.33% (slightly lower, but far less risk). A three-sleeve, trend-following, multi-asset strategy with built-in downside protection.

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Invest in this strategy
OOS Start Date
Mar 6, 2023
Trading Setting
Threshold 12%
Type
Stocks
Category
Tactical asset allocation, multi-asset, momentum, trend following, risk-on/risk-off, volatility hedge
Tickers in this symphonyThis symphony trades 16 assets in total
Ticker
Type
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
FXE
Invesco CurrencyShares Euro Currency Trust
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SHV
iShares Trust iShares 0-1 Year Treasury Bond ETF
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SSO
ProShares Ultra S&P500
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.

"[Backtest] Vol Hedge Momentum" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"[Backtest] Vol Hedge Momentum" is currently allocated toIEF, DBC, SPY, SSOandGLD. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "[Backtest] Vol Hedge Momentum" has returned 20.50%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "[Backtest] Vol Hedge Momentum" is 8.51%. 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 "[Backtest] Vol Hedge Momentum", 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.