Foreign Markets updated with 1x below spy200d and reduced lev FRs
Today’s Change (Jan 20, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
Daily, tactical EM strategy. Uses SPY/EEM 200‑day trends, RSI extremes, and pairwise strength checks to flip between long or short EM, dialing leverage up in good markets and down in weak ones. High risk due to 3× funds.
How it worksWhat it trades: Emerging‑market stocks (EEM), using 3× bull (EDC) or 3× bear (EDZ) funds, plus T‑bills (BIL). RSI = a 0–100 “recent‑moves” score; >80 very hot, <25 very cold.
1) If the US market (SPY) is above its 200‑day average, use bigger 3× bets; otherwise use milder ~1× bets (EEM or ~‑1× via 1/3 EDZ + cash).
2) If EM (EEM) is very hot (RSI>80), lean short about ‑2× (65% EDZ/35% BIL). If very cold (RSI<25), lean long about +2× (68% EDC/32% BIL).
3) Otherwise, it compares short‑term strength (10‑day RSI) of pairs to choose long or short EM:
• In uptrends: SHY vs USRT, and IEF vs DIA.
• In downtrends: ISCB vs IWM, and IGIB vs DLN.
Each sleeve invests ~90% (10% stays in T‑bills). Rebalanced daily. High risk due to 3× funds.
Value propOut-of-sample EM strategy with adaptive leverage targets outsized upside vs SPY: ~89.9% annualized return vs ~37.7%, Calmar ~9.28, Sharpe ~2.40 (SPY ~2.88). Lower beta (~0.70) but larger drawdowns (~9.7%).
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.63 | 0.32 | 0.02 | 0.14 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 945.12% | 14.75% | 2.19% | 5.01% | 0.86 | |
| 2,345,052.74% | 80.42% | -0.71% | 6.55% | 1.63 |
Initial Investment
$10,000.00
Final Value
$234,515,273.70Regulatory Fees
$472,512.31
Total Slippage
$3,360,647.30
Invest in this strategy
OOS Start Date
Apr 30, 2025
Trading Setting
Daily
Type
Stocks
Category
Emerging markets, tactical allocation, trend filter, rsi, relative strength, leveraged etfs, daily rebalance
Tickers in this symphonyThis symphony trades 13 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
DIA
SPDR Dow Jones Industrial Average ETF Trust
Stocks
DLN
WisdomTree U.S. LargeCap Dividend Fund
Stocks
EDC
Direxion Daily Emerging Markets Bull 3X Shares, Shares of beneficial interest, no par value
Stocks
EDZ
Direxion Daily Emerging Markets Bear 3x Shares
Stocks
EEM
iShares MSCI Emerging Markets ETF
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
IGIB
iShares Trust iShares 5-10 Year Investment Grade Corporate Bond ETF
Stocks
ISCB
iShares Morningstar Small-Cap ETF
Stocks
IWM
iShares Russell 2000 ETF
Stocks