Colab Experiment | Gobi
Today’s Change (Mar 18, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, rule-based momentum strategy that tilts between tech/internet ETFs (QQQ, XLK, FDN) and cash/hedges (BIL, VIXY) using RSI and moving-average momentum signals. It runs a set of signals to decide allocations, with a daily rebalance.
- Runs daily to decide where to invest among a small group of ETFs and cash/hedge proxies.
- Uses momentum: RSI (momentum strength) and moving-average-return (trend direction) to score assets.
- Evaluates several signals (Signal 1 to Signal 5), each proposing allocations to assets like QQQ, XLK, FDN, IYT, BIL, VIXY, etc.
- If a signal’s condition is true, it assigns a weight (often 0 or 100) to that asset; multiple signals can contribute to the final mix.
- Includes hedges/cash: BIL (short-term Treasuries) to simulate cash and VIXY as a volatility hedge when risk appears high.
- Rebalances daily, producing a concrete, rule-based portfolio composition focused on tech/internet exposure with optional hedges.
Out-of-sample, this momentum strategy delivers ~41.8% annualized return vs SPY ~27%, with higher Sharpe (~3.57 vs ~2.23) and smaller drawdown (~3.1% vs ~5.1%), thanks to a disciplined tech tilt and hedges.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.21 | 0.64 | 0.46 | 0.68 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 590.61% | 13.59% | -1.77% | 0.2% | 0.83 | |
| 7,353.49% | 32.88% | 1.73% | 0.5% | 1.83 |
Initial Investment
$10,000.00
Final Value
$745,348.82Regulatory Fees
$2,592.63
Total Slippage
$17,333.40
Invest in this strategy
OOS Start Date
May 19, 2025
Trading Setting
Daily
Type
Stocks
Category
Quantitative, equity, momentum, sector rotation, rule-based
Tickers in this symphonyThis symphony trades 9 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
CORP
PIMCO Investment Grade Corporate Bond Index Exchange-Traded Fund
Stocks
FDN
First Trust Dow Jones Internet Index Fund ETF
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
IYT
iShares U.S. Transportation ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
VIXY
ProShares VIX Short-Term Futures ETF
Stocks
XLK
State Street Technology Select Sector SPDR ETF
Stocks