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Symphonies
KMLM Structure Example (basic logic from Jason)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, it splits the portfolio into 3 slices and goes long or short big‑tech. If stocks beat KMLM on simple trend/strength checks, it buys TQQQ (3x long). If KMLM leads, it shorts with PSQ or SQQQ based on SPY’s 200‑day trend.
NutHow it works
Each day the money is split into 3 equal parts. In each part it asks: are stocks/tech stronger than KMLM (a trend-following futures fund often strong when stocks are weak)? It uses moving averages (recent price average) and RSI (a 0–100 short‑term strength score). If stocks look stronger, it buys TQQQ (3x long Nasdaq‑100). If KMLM looks stronger, it shorts tech with PSQ (1x), or SQQQ (3x) when SPY is below its 200‑day average.
CheckmarkValue prop
Out-of-sample edge: ~56.9% annualized return with a 1.26 Sharpe vs SPY's ~1.16 Sharpe and ~20.7% return. Beta ~0.56, Calmar ~1.72. Higher volatility, but stronger risk-adjusted growth than the S&P 500.

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Invest in this strategy
OOS Start Date
Sep 7, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, relative strength, trend-following, leveraged etfs, tech-focused, managed-futures signal, risk-on/risk-off
Tickers in this symphonyThis symphony trades 6 assets in total
Ticker
Type
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
XLK
State Street Technology Select Sector SPDR 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 toPSQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 59.69%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 33.06%. 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.