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Symphonies
Generalized Protective Momentum Simplified Approximation
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A simple, rules-based trend strategy. SPY, QQQ, and IWM each stay invested only if their price has been rising over the last month; otherwise they shift to Treasuries/cash. The three sleeves are equal-weighted and rebalanced monthly.
NutHow it works
The portfolio has 3 “sleeves”: SPY (big U.S. stocks), QQQ (Nasdaq-100, tech‑heavy), and IWM (small caps). Each month it asks for each sleeve: has this fund been rising on average over the past ~30 days? If yes, hold it. If not, move that sleeve to safety: BIL (T‑Bills) for SPY/IWM, or IEF (7–10yr Treasuries) for QQQ. Then split money evenly across the 3 sleeves.
CheckmarkValue prop
Out-of-sample performance excels: Sharpe 2.53 vs SPY 1.44, annualized return ~33.6% vs 32.2%, max drawdown 6.8% vs 13.7%, Calmar ~4.93. Three sleeves with trend hedges and monthly rebalancing offer stronger risk-adjusted upside versus the S&P 500.

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Invest in this strategy
OOS Start Date
Mar 8, 2025
Trading Setting
Monthly
Type
Stocks
Category
Trend-following,momentum,tactical asset allocation,monthly rebalance,risk management,equities with treasury/cash hedges
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toIWM, QQQandSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 33.62%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 6.82%. 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 the symphony, 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, crypto, and options.