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Symphonies
FR - 10d RSI XLP > 77%
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A defensive, crash‑hedge strategy. When consumer staples surge short‑term (RSI10>77), it holds VIXY/TLT/BTAL; otherwise it stays in T‑Bills (BIL). Designed to sit out stocks and protect in sell‑offs.
NutHow it works
It checks daily if consumer‑staples fund XLP has been unusually strong: 10‑day RSI > 77 (RSI = 0–100 gauge of recent up vs down moves). If true: hold 50% VIXY (jumps when market fear/volatility spikes), 25% TLT (long U.S. Treasuries), 25% BTAL (long low‑risk vs short high‑risk stocks). Else: BIL (T‑Bills/cash). Trades only when the signal flips.
CheckmarkValue prop
Defensive crash-hedge that protects in selloffs by shifting to a VIXY/TLT/BTAL hedge or cash. Drawdown ~3% vs SPY ~19%; Calmar ~1.23; Sharpe ~0.92. Strong downside protection with steadier risk-adjusted returns vs the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.06-0.040.01-0.11
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
683.3%15.18%6.16%5.09%0.92
FR - 10d RSI XLP > 77%
114.79%5.39%0.32%2.32%0.98
Initial Investment
$10,000.00
Final Value
$21,479.06
Regulatory Fees
$40.76
Total Slippage
$261.72
Invest in this strategy
OOS Start Date
Aug 21, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Defensive,tactical,volatility-hedge,treasuries,market-neutral,cash-like,rsi-signal
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks
VIXY
ProShares VIX Short-Term Futures ETF
Stocks
XLP
State Street Consumer Staples Select Sector SPDR 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.

"FR - 10d RSI XLP > 77%" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"FR - 10d RSI XLP > 77%" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "FR - 10d RSI XLP > 77%" has returned 5.21%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "FR - 10d RSI XLP > 77%" is 5.91%. 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 "FR - 10d RSI XLP > 77%", 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.