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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

Daily, it uses KMLM/RSBT/RSST/BCI as market “heat” gauges. When they show extremes, it buys the single worst‑performing leveraged/volatility ETF that day, aiming for a quick rebound; otherwise it sits in T‑Bills. One pick at a time; very high risk.
NutHow it works
Each day it checks “speed” readings (RSI: a 0–100 gauge of how stretched prices are) on KMLM (a trend-following futures fund), its cousins RSBT/RSST, and BCI (commodities). If any reading is extreme, it buys just one ETF: the one from preset lists that fell the most today (a snap‑back bet). If no extreme, it holds T‑Bills (BIL). Rebalances daily.
CheckmarkValue prop
Out-of-sample edge: Sharpe 1.65 vs 0.87; annualized return ≈139% vs 15%; Calmar ≈5.89. Daily macro-gate bets offer higher risk-adjusted growth and diversification versus the S&P, with higher beta and drawdowns.

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Invest in this strategy
OOS Start Date
Nov 23, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical mean-reversion, leveraged etfs, volatility etps, managed-futures signals, daily rotation
Tickers in this symphonyThis symphony trades 13 assets in total
Ticker
Type
BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
KOLD
ProShares UltraShort Bloomberg Natural Gas
Stocks
RSBT
Return Stacked Bonds & Managed Futures ETF
Stocks
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X Shares
Stocks
SOXS
Direxion Daily Semiconductor Bear 3X Shares
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x Shares
Stocks
SVXY
ProShares Short VIX Short-Term Futures 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.

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

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

Year-to-date, "Frontrunner: KMLM" has returned 136.40%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Frontrunner: KMLM" is 23.55%. 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.