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Symphonies
D.E Shaw Step 5
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, rules‑based, multi‑strategy portfolio. It rides tech/semis in good trends, buys severe dips, times Treasuries and energy, and hedges with T‑Bills, volatility (UVXY), or inverse ETFs when markets overheat or crack. Uses leveraged ETFs; high risk.
NutHow it works
Every day the system asks: 1) Is the trend up or down? (Price vs its moving average, a simple trend line.) 2) Is the market hot or cold? (RSI, a 0–100 ‘heat meter’; >80 = too hot, <30 = washed‑out.) In calm uptrends it rides growth (QQQ and 3× tech/semis). If too hot or breaking down, it moves to T‑Bills (BIL), Treasuries (TLT/TMF), or hedges with volatility (UVXY) or inverse funds (SQQQ). Severe dips trigger “buy‑the‑dip.” Separate sleeves time bonds and energy/commodities. Typical exposures: US stocks (tech/semis heavy), Treasuries, volatility (VIX), energy/nat gas, commodities, US dollar, gold, and T‑Bills. Rebalanced daily.
CheckmarkValue prop
Out-of-sample Sharpe ~1.22 vs SPY ~1.20; lower drawdown 14.1% vs 18.8%; beta ~0.76; Calmar ~1.40. Strong risk-adjusted resilience and diversification aiming for similar upside with less risk than the S&P 500.

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Invest in this strategy
OOS Start Date
Feb 17, 2024
Trading Setting
Daily
Type
Stocks
Category
Multi-strategy,tactical,trend-following,mean-reversion,leveraged etfs,volatility hedge,treasuries,tech/semis,energy,commodities,cash/t-bills
Tickers in this symphonyThis symphony trades 94 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
BOIL
ProShares Ultra Bloomberg Natural Gas
Stocks
BSV
Vanguard Short-Term Bond ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
COP
ConocoPhillips
Stocks
CVE
Cenovus Energy Inc.
Stocks
CVX
Chevron Corporation
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
DBO
Invesco DB Oil Fund
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.

"D.E Shaw Step 5" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"D.E Shaw Step 5" is currently allocated toUPRO, TYD, TIP, FCG, IEF, KOLD, USDU, TMF, VTIP, QQQ, DRN, SVXY, UUP, DBC, HYG, SHY, XNTK, LQD, SPY, TECL, BTAL, VLO, TQQQ, XLE, EDC, SH, MPC, IEI, DIG, GLD, TLT, UCO, TNA, TMV, BIL, SQQQ, TYO, XLP, BND, EFOandPSQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "D.E Shaw Step 5" has returned 19.15%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "D.E Shaw Step 5" is 14.12%. 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 "D.E Shaw Step 5", 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.