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Symphonies
Commodities Macro Momentum
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Switches daily between DBC (broad commodities) and SHV (T‑bills). Buys DBC on extreme sell‑offs (RSI < 17) or when the trend is strongly up (50>100>252‑day averages). Otherwise parks in SHV for defense.
NutHow it works
Each day: 1) If DBC’s 10‑day RSI < 17, buy DBC. RSI is a 0–100 read of recent price speed; very low = “oversold.” 2) Otherwise, buy DBC only if its 50‑day avg price > 100‑day AND 100‑day > 252‑day (averages = past‑X‑day prices; this signals a strong uptrend). 3) Else hold SHV (short‑term U.S. Treasury bills).
CheckmarkValue prop
Rule-based switch between DBC and SHV; buys DBC on dips or strong uptrends, else stays in cash. Out-of-sample shows lower drawdown (13.1% vs SPY ~18.8%), steadier risk, and +3.72% annual return—diversifies and protects capital when stocks fall.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.070.060.010.1
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
522.26%10.03%-7.68%-7.76%0.58
Commodities Macro Momentum
302.14%7.55%13.37%29.24%0.67
Initial Investment
$10,000.00
Final Value
$40,213.89
Regulatory Fees
$44.08
Total Slippage
$259.55
Invest in this strategy
OOS Start Date
Dec 20, 2023
Trading Setting
Daily
Type
Stocks
Category
Commodities, momentum, trend following, tactical allocation, risk management
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
SHV
iShares Trust iShares 0-1 Year Treasury Bond 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.

"Commodities Macro Momentum" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Commodities Macro Momentum" is currently allocated toDBC. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Commodities Macro Momentum" has returned 11.40%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Commodities Macro Momentum" is 13.10%. 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 "Commodities Macro Momentum", 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.