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Symphonies
Frontrunner: KMLM
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Uses KMLM (a managed‑futures trend fund) as an early‑warning meter. On extreme KMLM days or readings, it buys the day’s biggest loser among leveraged stock funds or a short‑vol ETF, aiming for a quick rebound. Otherwise it holds T‑bills. High risk, rebalanced daily.
NutHow it works
It watches KMLM, a managed‑futures trend fund. Each day it does one thing: • If KMLM jumps >+2.5% in a day, buy the biggest loser among 3x stock funds: SOXL (semis), TQQQ (Nasdaq), or UPRO (S&P). • Else if KMLM’s 10‑day RSI (a 0–100 heat‑meter of recent moves) is very low (<31), buy SVXY (tends to rise when market volatility calms). • Else if KMLM falls worse than −5% in a day, buy whichever of SVXY or SOXL fell more. • Else if KMLM’s 10‑day RSI is very high (>80.5), again buy the weaker of SVXY or SOXL. • Otherwise, sit in BIL (T‑bills, cash‑like).
CheckmarkValue prop
Risk control and diversification: out-of-sample, it shaved drawdowns (16% vs SPY 18.8%), posted positive risk-adjusted metrics (Calmar ~0.27, Sharpe ~0.33), and stays in cash when edges fade, helping stabilize a core S&P portfolio.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.130.240.090.29
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
92.49%13.37%-2.85%-2.42%0.83
Frontrunner: KMLM
120.17%16.33%0.27%0.87%1.17
Initial Investment
$10,000.00
Final Value
$22,017.29
Regulatory Fees
$47.56
Total Slippage
$299.80
Invest in this strategy
OOS Start Date
Oct 28, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical, daily-rebalance, leveraged-etfs, volatility, managed-futures-signal, mean-reversion, risk-on/off
Tickers in this symphonyThis symphony trades 6 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
UPRO
ProShares UltraPro S&P 500
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.

"Frontrunner: KMLM" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Frontrunner: KMLM" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Frontrunner: KMLM" has returned 4.23%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Frontrunner: KMLM" is 16.05%. 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 "Frontrunner: KMLM", 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.