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Symphonies
CAOS Catches Falling Vol.
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily timing rule that buys SVIX (profits when market volatility falls) only when a volatility gauge (CAOS) shows recent weakness (10‑day RSI < 34); otherwise it sits in cash‑like T‑bills (BIL). High risk if volatility spikes suddenly.
NutHow it works
Each day the strategy checks a 10‑day RSI reading of a volatility gauge called CAOS. RSI (0–100) tells you if something has mostly fallen or risen lately. If CAOS’s RSI is below 34 (volatility has been falling), it puts 100% into SVIX—an ETF that benefits when market volatility drops. Otherwise it parks the money in BIL, a short‑term Treasury‑bill ETF.
CheckmarkValue prop
Out-of-sample, this volatility-timing strategy offers strong risk-adjusted returns with far lower drawdown than SPY (Calmar ~4.6; max drawdown ~1% vs ~5%). It preserves capital in volatility spikes and participates when volatility trends lower.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.170.060.010.11
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
66.8%18.49%-7.68%-7.76%1.2
CAOS Catches Falling Vol.
69.75%19.18%0.27%1.52%2
Initial Investment
$10,000.00
Final Value
$16,974.99
Regulatory Fees
$5.75
Total Slippage
$36.43
Invest in this strategy
OOS Start Date
Apr 29, 2025
Trading Setting
Daily
Type
Stocks
Category
Volatility timing, short vol, etfs, tactical, daily rebalance, rsi filter, cash/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
CAOS
Alpha Architect Tail Risk ETF
Stocks
SVIX
-1x Short VIX 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.

"CAOS Catches Falling Vol." is currently performing the same as yesterday today. Performance updates in real time during market hours.

"CAOS Catches Falling Vol." is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "CAOS Catches Falling Vol." has returned 4.73%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "CAOS Catches Falling Vol." is 1.08%. 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 "CAOS Catches Falling Vol.", 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.