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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, rules‑based risk‑on/risk‑off switch: compare simple momentum on equity ETFs to KMLM’s. If equities lead, tilt to tech/growth; otherwise move to defensive sleeves. Uses inverse‑vol sizing and blends three signal flavors (RSI, trend, choppiness).
NutHow it works
Each day it compares quick momentum/trend checks on “risk‑on” ETFs to the same check on KMLM (a managed‑futures ETF). If risk‑on looks stronger, it buys them (favoring the least “stretched” one); if not, it holds defenses (BTAL/low‑vol/T‑Bills; sometimes bonds). Positions are sized by inverse volatility. Three signal flavors run in parallel—RSI (a 10–20‑day “heat” score), recent average return (trend), and standard deviation (choppiness)—and their picks are blended 60/40.
CheckmarkValue prop
Compelling out-of-sample edge: annualized return 19.94% vs S&P 19.58%; lower max drawdown 17.67% vs 18.76%; Calmar ~1.13. Strategy uses adaptive risk-on/off with inverse-vol sizing to capture tech strength while reducing risk.

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Invest in this strategy
OOS Start Date
Sep 3, 2024
Trading Setting
Daily
Type
Stocks
Category
Risk-on/off,momentum (rsi/ma return),inverse-vol sizing,multi-asset etfs,tech/semis tilt,managed-futures signal (kmlm),defensive (btal/splv),leveraged etfs,short-vol (svxy),daily rebalance
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 Emerging Markets Bear 3x Shares
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 Shares
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 toSPY, BTAL, LABD, TMVandTZA. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 22.74%. 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.