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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’s daily move/RSI as a market weather vane. On extremes, buy the day’s loser among leveraged equity or volatility ETFs; otherwise sit in T‑Bills. Daily rebalanced; very high risk.
NutHow it works
It uses KMLM (a fund that follows big trends across commodities, interest rates, and currencies) as a market weather vane. - If KMLM jumps > +2.5% in a day, buy the day’s worst of SOXL/TQQQ/UPRO (3× stock ETFs). - If KMLM’s 10‑day RSI (a 0–100 “heat” score) is very low (<31), buy SVXY (profits when fear cools). - If KMLM plunges < −5% or RSI is very high (>80.5), buy the day’s worst of SVXY/SOXL. - Otherwise hold BIL (T‑Bills). Rebalanced daily.
CheckmarkValue prop
Capital-protecting, signal-driven strategy with lower market sensitivity (beta ~0.55) and smaller out-of-sample drawdowns (16.0% vs SPY's 18.8%). Diversifies risk and can cushion losses, complementing a core S&P 500 portfolio.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.120.230.080.29
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
107.38%14.62%12.6%2.81%0.89
Frontrunner: KMLM
121.1%16%0.28%0.86%1.16
Initial Investment
$10,000.00
Final Value
$22,109.78
Regulatory Fees
$47.57
Total Slippage
$299.80
Invest in this strategy
OOS Start Date
Oct 28, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical, mean reversion, regime filter, leveraged equities, short volatility, risk-on/risk-off, daily rebalance
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 4.16%. 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.