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Symphonies
Double Crossed, A SPY Story l 29 October 2007
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A rules‑based on/off switch between SPY and cash‑like T‑bills. It buys SPY on deep dips or when bond markets hint at easing stress, and moves to T‑bills when SPY is overheated or short‑term volatility spikes.
NutHow it works
It toggles between SPY (stocks) and BIL (T‑bills). If SPY is very hot (RSI, a 0–100 “heat” score, > 91.5) or markets are stormy (high 5‑day choppiness), it hides in BIL. If SPY is very cold (RSI < 26.5), it buys SPY. Otherwise it asks bonds for clues: if bonds beat cash (3‑month strength) or short Treasuries beat SPY (6‑week strength), it buys SPY; else BIL.
CheckmarkValue prop
Rules-based SPY vs. BIL strategy that beats the S&P 500 on risk-adjusted terms. Out-of-sample Sharpe ~1.69 vs ~1.33; annualized return ~24.2% vs ~21.3%; beta ~0.75; drawdown ~18.8%.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.090.670.670.82
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
598.96%11.02%6.16%5.09%0.63
Double Crossed, A SPY Story l 29 October 2007
1,724.02%16.89%2.61%1.58%1.05
Initial Investment
$10,000.00
Final Value
$182,402.38
Regulatory Fees
$684.99
Total Slippage
$4,677.42
Invest in this strategy
OOS Start Date
Jul 9, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical asset allocation, rule-based timing, rsi/mean reversion, volatility filter, us equities vs t-bills, macro bond signals, risk management
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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 toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 21.59%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 18.76%. 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.