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Symphonies
KMLM signal experiment {thewizard666} -- Sorted/Inverse vol (No OB/OS checks)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily trading strategy that compares stock-market signals to KMLM. If stocks look healthier, it buys aggressive areas like tech; if not, it shifts mostly into defensive holdings such as BTAL.
NutHow it works
This strategy uses KMLM as a market “weather check.” If parts of the stock market look stronger than KMLM, it buys aggressive funds like tech, chips, small caps, or leveraged indexes. If not, it usually moves into defensive holdings, mainly BTAL, and sometimes low-volatility stocks, cash, or volatility funds. It also tends to pick assets that have recently cooled off rather than the hottest ones.
CheckmarkValue prop
Out-of-sample edge: 23.6% annualized return vs 18.3% for the S&P, with a smaller drawdown (~17.7% vs 18.8%) and Calmar ~1.34. Diversified, regime-switching approach aims for higher upside with controlled risk.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.420.570.130.36
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
121.85%14.99%-0.05%3.57%0.93
KMLM signal experiment {thewizard666} -- Sorted/Inverse vol (No OB/OS checks)
1,345.47%59.69%-0.66%3.26%1.91
Initial Investment
$10,000.00
Final Value
$144,547.37
Regulatory Fees
$508.87
Total Slippage
$3,557.76
Invest in this strategy
OOS Start Date
Sep 3, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, market regime, managed futures filter, tech-heavy, defensive rotation, inverse volatility, momentum, risk-on/risk-off
Tickers in this symphonyThis symphony trades 34 assets in total
Ticker
Type
AVUV
Avantis U.S. Small Cap Value ETF
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
EDZ
Direxion Daily MSCI Emerging Markets Bear 3X ETF
Stocks
IGM
iShares Expanded Tech Sector ETF
Stocks
ITB
iShares U.S. Home Construction ETF
Stocks
IWM
iShares Russell 2000 ETF
Stocks
IYW
iShares U.S. Technology ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
LABD
Direxion Daily S&P Biotech Bear 3X 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.

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

The symphony is currently allocated toSOXL, SOXX, SMH, LABU, SVXY, SPXL, TECL, XHB, BTAL, TQQQ, XMMO, SSO, LABD, XLKandTZA. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 23.06%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 17.67%. 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, and options.
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