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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

Binary RSI-based strategy: if XLP’s 10-day RSI > 77, allocate 50% to VIXY and 50% to a 50/50 mix of TLT and BTAL; else allocate 100% to BIL (short-term T-bills).
NutHow it works
The strategy monitors XLP (consumer staples) and computes its 10-day RSI. If the RSI exceeds 77, you allocate fully into a volatility/hedge mix: 50% VIXY (volatility exposure) and 50% into an alternate sleeve that splits 50/50 between TLT (long-duration Treasuries) and BTAL (hedging/volatility ETF). If the RSI is not above 77, you allocate 100% to BIL (short-term Treasuries, cash-like asset). There is no ongoing automatic rebalancing beyond this signal-driven switch; the 0.1 corridor is a technical parameter for drift tolerance. Tickers: VIXY = volatility, TLT = long-term Treasuries, BTAL = hedging/volatility, BIL = short-term Treasuries. XLP RSI is the trigger; 77 is the cutoff; the rule is evaluated to decide between the VIX Blend and BIL.
CheckmarkValue prop
Capital-protection: out-of-sample drawdown ~3% vs ~19% for SPY; Calmar ~1.23; beta near zero. Returns ~3.6% vs ~17.8%, but risk-adjusted results stay steadier thanks to volatility hedges and cash-like safety on triggers.
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
637.94%14.81%-1.77%0.2%0.9
FR - 10d RSI XLP > 77%
114.1%5.4%0.27%0.4%0.98
Initial Investment
$10,000.00
Final Value
$21,410.37
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
Equities, rsi-based, volatility hedging, tactical asset allocation, short-term cash
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 5.29%. 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.