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Symphonies
Cautious Fund Surfing | SPY vs. SHY | 1x
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, rule-based, 1x fund that shifts between SPY (stocks) and SHY (short-term bonds) based on RSI momentum of SPY vs SHY across several lookbacks and SPY volatility thresholds, aiming to reduce risk when momentum weakens and to remain in stock exposure when momentum is strong.
NutHow it works
Every day the fund compares SPY to SHY using a momentum measure (RSI) over several lookbacks (14–42 days). If SPY looks weaker than SHY on a given window and SPY’s recent volatility is not too high (below 1%, 1.5%, or 2% depending on the condition), the model shifts toward SHY (or cash) to reduce risk. If SPY looks stronger, it tilts toward SPY. The process is repeated across multiple windows to confirm signals, and the weights are adjusted so the total stays at 100% with no leverage. The two assets used are SPY (large-cap stocks) and SHY (short-term bonds).
CheckmarkValue prop
Out-of-sample, this 1x SPY/SHY strategy delivers stronger risk-adjusted performance than the S&P 500: higher Sharpe (≈1.90 vs 1.38), lower drawdown (13.3% vs 18.8%), and ~18.5% annualized return under disciplined RSI-based momentum rules.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.060.270.370.61
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,120.28%11.26%-1.77%0.2%0.66
Cautious Fund Surfing | SPY vs. SHY | 1x
822.44%9.94%-1.77%0.63%1.17
Initial Investment
$10,000.00
Final Value
$92,244.30
Regulatory Fees
$545.71
Total Slippage
$3,484.71
Invest in this strategy
OOS Start Date
Jan 15, 2023
Trading Setting
Daily
Type
Stocks
Category
Defensive momentum strategy, spy vs shy, rsi-based signal, multi-window checks, volatility filter, daily rebalance, 1x leverage
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 16.24%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 13.30%. 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 the symphony, 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.