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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, risk‑on/risk‑off switch that compares short‑term strength of stock sectors to KMLM (managed‑futures). If sectors look stronger, it buys aggressive (often leveraged) ETFs; if not, it holds defensive funds like BTAL/SPLV/VIX/T‑Bills, sized by inverse volatility.
NutHow it works
It’s a daily “switch.” RSI = a 0–100 recent‑strength score. KMLM = a managed‑futures diversifier. For each anchor (Tech, Semis, Small‑caps, etc.), if its RSI is higher than KMLM’s, the strategy buys riskier ETFs tied to that theme (often leveraged). If not, it holds defensive picks (BTAL/SPLV/VIX/T‑Bills). Weights use inverse volatility. It also ranks several signal sets by recent stats and trades the one scoring weakest, aiming to adapt.
CheckmarkValue prop
Out-of-sample edge: ~21.7% annualized vs S&P 20.1%, with lower drawdown (17.7% vs 18.8%) and beta ~0.75. Calmar ~1.23 signals strong risk-adjusted performance and diversification beyond plain equities.

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Invest in this strategy
OOS Start Date
Sep 3, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, relative strength switch, managed-futures signal, inverse-vol weighting, sector rotation, leveraged etfs
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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 toLABU, SPXL, XLB, TECL, XHB, BTAL, TQQQ, XMMO, SSO, IGM, LABD, XLK, TMV, XLY, IYW, TZAandITB. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 21.73%. 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, crypto, and options.