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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 switch between SPY (stocks) and BIL (T‑bills) using short-term overbought/oversold, a volatility filter, and bond-market momentum signals to decide when to be risk-on or in cash.
NutHow it works
Each day it picks SPY (S&P 500) or BIL (T‑bills). It uses RSI, a 0–100 score of recent up vs down days: if SPY is extremely hot (5‑day RSI>91.5), go to BIL; if extremely cold (RSI<26.5), buy SPY. If 5‑day volatility is high, go to BIL. Otherwise use bond clues: if BND’s 63‑day RSI beats BIL’s, buy SPY; else if SHY’s 30‑day RSI beats SPY’s, buy SPY; otherwise BIL. Trades only when rules flip.
CheckmarkValue prop
Rule-based SPY/BIL switch delivers stronger out-of-sample results: ~24.2% annualized vs SPY’s ~21.2%, Sharpe ~1.69 vs 1.33, beta ~0.75, Calmar ~1.29, with similar drawdowns—offering superior risk-adjusted growth.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.090.660.660.82
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
578.9%10.99%2.19%5.01%0.62
Double Crossed, A SPY Story l 29 October 2007
1,733.02%17.16%2.19%6.9%1.06
Initial Investment
$10,000.00
Final Value
$183,301.53
Regulatory Fees
$679.57
Total Slippage
$4,640.95
Invest in this strategy
OOS Start Date
Jul 9, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical allocation, risk-on/risk-off, momentum & mean-reversion, volatility filter, intermarket bond signals
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
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 toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 24.17%. 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, crypto, and options.