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Symphonies
KMLM New Simple Fund Surfing
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Buys 3x S&P or 3x Nasdaq after short‑term drops, but only when a broad trend ETF (KMLM) is calm; otherwise parks in short‑term Treasuries (SHY). Uses two volatility cutoffs (1% and 2%) and averages them to reduce whipsaws.
NutHow it works
Owns either: UPRO (3x S&P 500), TQQQ (3x Nasdaq‑100), or SHY (short‑term Treasuries). First it checks the “sea state”: KMLM (a diversified trend‑following ETF) must have low 21‑day volatility (<1% and <2%). When calm, it buys the fund with the lowest 21‑day RSI—RSI is a score of recent ups vs downs; low = just fell. If not calm, it holds SHY. It averages the 1% and 2% checks to smooth moves.
CheckmarkValue prop
Out-of-sample edge: ~52% annualized return vs ~20% for the S&P; Calmar ~0.94, Sharpe ~1.05. Dip-buy in 3x ETFs with a SHY ballast, guided by a calm-seas volatility filter. Note: drawdowns can be large in stress.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.251.720.520.72
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
99.02%14.31%-0.15%0.4%0.87
KMLM New Simple Fund Surfing
796.65%53.14%-0.17%-8.77%1.26
Initial Investment
$10,000.00
Final Value
$89,665.02
Regulatory Fees
$232.81
Total Slippage
$1,480.56
Invest in this strategy
OOS Start Date
May 10, 2024
Trading Setting
Threshold 5%
Type
Stocks
Category
Tactical allocation, rsi dip-buying, volatility filter, leveraged equity etfs, risk-on/risk-off, managed futures proxy
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SHY
iShares 1-3 Year Treasury Bond 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.

"KMLM New Simple Fund Surfing" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM New Simple Fund Surfing" is currently allocated toUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM New Simple Fund Surfing" has returned 39.30%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM New Simple Fund Surfing" is 55.50%. 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 "KMLM New Simple Fund Surfing", 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.