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Symphonies
GLD Macro Momentum
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Own GLD only when gold is trending up across long-, medium-, and short-term measures; otherwise sit in SHV (short-term Treasuries). Daily, rules-based, multi-timeframe gold momentum strategy.
NutHow it works
Each day it checks gold’s trend at three speeds using moving averages (the average closing price over a set number of days). If gold’s long-, medium-, and short-term trends are all rising (200d>350d, 60d>150d, 24d>60d), it holds GLD (gold). Otherwise, it parks in SHV (very short-term U.S. Treasuries).
CheckmarkValue prop
Out-of-sample gold-momentum strategy: annualized return ~32.6% vs S&P 22.5%, Sharpe ~1.96 vs 1.41, Calmar ~3.21, max drawdown ~10.1% vs 18.8%. Adds risk-adjusted upside with a built-in SHV hedge; superior diversification.

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Invest in this strategy
OOS Start Date
Apr 7, 2023
Trading Setting
Daily
Type
Stocks
Category
Trend-following, gold, commodities, moving-average crossover, tactical allocation, momentum, cash/t-bills
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
SHV
iShares Trust iShares 0-1 Year Treasury Bond 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.

"GLD Macro Momentum" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"GLD Macro Momentum" is currently allocated toGLD. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "GLD Macro Momentum" has returned 30.87%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "GLD Macro Momentum" is 13.87%. 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 "GLD Macro Momentum", 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.