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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 switch: when stocks look stronger than KMLM (managed futures), rotate into risk-on themes (often tech/semis, sometimes 3×) and buy the dip; otherwise hold defensive hedges (BTAL/SPLV/VIX/T‑Bills) or bonds. Sized by inverse volatility.
NutHow it works
It compares short-term strength (a 10–20 day “heat gauge” called RSI) of stock themes to KMLM, a managed‑futures fund that often zigzags opposite stocks. If stocks beat KMLM, it buys a small basket in that theme (tech/semis/small‑caps, sometimes 3×) that have dipped the most, sized by inverse volatility. If not, it holds BTAL/SPLV/VIX funds/T‑Bills or long bonds (TMF). It also tests a few signal flavors and picks one using 10‑day stats. Rebalanced daily.
CheckmarkValue prop
Out-of-sample, this strategy delivers higher annualized return (19.94% vs 19.58%), lower drawdown (17.7% vs 18.8%), and positive alpha, with disciplined risk-on/off tilts and inverse-vol sizing—beats the S&P on risk-adjusted terms.

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Invest in this strategy
OOS Start Date
Sep 3, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, risk-on/risk-off, rsi-based, kmlm yardstick, inverse-vol sizing, leveraged/inverse etfs, daily rebalance, sector rotation
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 toSPY, BTAL, LABD, TMV, IYWandTZA. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 22.04%. 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.