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Symphonies
Cautious Fund Surfing | SPY vs. TLT | 2x
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, it “surfs” between 2x S&P 500 and long Treasuries. It buys 2x stocks only when markets are calm and stocks look short‑term oversold vs short‑term Treasuries; otherwise it sits in TLT. 15 lookbacks smooth the exposure.
NutHow it works
Each day, 15 simple checks vote between stocks and long bonds. - SPY = S&P 500. TLT = long-term US Treasury bonds. SHY = short‑term Treasuries. SSO/UPRO = 2x/3x versions of SPY. - First: is SPY’s recent “bumpiness” (volatility) low? If no, hold TLT. - If yes: is SPY’s RSI (a 0–100 “recent ups vs downs” score) lower than SHY’s (i.e., stocks look more beaten‑up)? If yes, buy 2x SPY (rarely 3x). Else, hold TLT. The portfolio averages all votes.
CheckmarkValue prop
Out-of-sample, 27.44% annualized return vs SPY’s 22.17%, with Calmar 0.98 and Sharpe 1.26. Gains come from smart dips into 2x equities amid calm markets, with defensive Treasuries. Note: drawdowns can be larger (≈28% vs SPY ≈19%).
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.170.480.180.42
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
896.36%14.79%0.54%-0.34%0.89
Cautious Fund Surfing | SPY vs. TLT | 2x
4,126.52%25.19%0.62%-1.95%1.24
Initial Investment
$10,000.00
Final Value
$422,652.18
Regulatory Fees
$1,597.39
Total Slippage
$9,195.91
Invest in this strategy
OOS Start Date
Apr 3, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, volatility filter, mean reversion, leveraged etfs, s&p 500 vs treasuries, daily rebalance
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
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
TLT
iShares 20+ Year Treasury Bond ETF
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 toSSOandUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 24.72%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 28.03%. 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.