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Symphonies
Cautious Fund Surfing | SPY vs. SHY | 3x
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily 3x SPY tilt triggered by SPY<SHY momentum plus SPY volatility checks; otherwise SHY. Leveraged exposure only when signals align; otherwise bonds or cash-like balance. Backtested since 2009-06-25 with daily rebalancing.
NutHow it works
- Assets: SPY (stocks), SHY (short-term bonds), UPRO (3x stock leverage). - Signals: RSI momentum comparison SPY vs SHY, and SPY volatility (standard deviation) over several lookback periods (14d, 21d, 28d, 35d, 42d). - Decision: If SPY RSI < SHY RSI AND SPY volatility < a threshold (1%, 1.5%, or 2%) in any lookback window, invest in UPRO (3x SPY). Otherwise invest in SHY. Cash-like weighting may apply when signals are weak. - Rebalance: Daily. - Aim: Capture leveraged equity upside when conditions look favorable while using bonds to dampen risk; backtest period starts 2009-06-25.
CheckmarkValue prop
Out-of-sample edge: Sharpe 1.60 vs 1.38, annualized return ~49% vs ~22%, Calmar ~1.33. Drawdowns higher (~37% vs ~19%), but the strategy delivers stronger upside when conditions line up versus SPY.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.160.950.440.66
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
878.4%14.64%-2.02%-1.16%0.88
Cautious Fund Surfing | SPY vs. SHY | 3x
9,255.46%31.25%-6.98%-5.53%1.24
Initial Investment
$10,000.00
Final Value
$935,545.88
Regulatory Fees
$2,267.28
Total Slippage
$14,066.79
Invest in this strategy
OOS Start Date
Jan 15, 2023
Trading Setting
Daily
Type
Stocks
Category
Leveraged equity, tactical rotation, spy/shy rotation, rsi and volatility filters, daily rebalance
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
UPRO
ProShares UltraPro S&P 500
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 toUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 40.16%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 36.61%. 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.