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Symphonies
KMLM Structure Example
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, rules-based bet on the Nasdaq-100 that flips between 3× long (TQQQ) and short (SQQQ/PSQ). Three equal “voters” compare tech/market strength to KMLM (managed‑futures) and a long‑term S&P 500 trend, then choose the position.
NutHow it works
The portfolio is split into 3 equal “voters.” - Voter A: If KMLM (a managed‑futures ETF) is below its 20‑day average, buy TQQQ (3× long Nasdaq). Otherwise use SPY’s 200‑day trend: below → SQQQ (3× short), above → PSQ (1× short). - Voter B: If XLK’s short‑term strength (RSI) beats KMLM’s, buy TQQQ; else use the same SPY check to pick SQQQ or PSQ. - Voter C: Same as B but compares SPY vs KMLM. Equal‑weight the 3 picks, rebalance daily.
CheckmarkValue prop
Out-of-sample edge: ~57% annualized Nasdaq-100 return; Sharpe ~1.26 vs S&P 500 ~1.15; beta ~0.59; Calmar ~1.74. Higher upside with better risk-adjusted performance than the S&P 500, plus disciplined downside control.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.87000
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
99.19%14.68%2.19%5.01%0.89
KMLM Structure Example
4,005.56%109.24%-3.41%-1.01%1.69
Initial Investment
$10,000.00
Final Value
$410,555.80
Regulatory Fees
$640.00
Total Slippage
$3,925.51
Invest in this strategy
OOS Start Date
Sep 7, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical, momentum, trend filter, nasdaq/tech focus, leveraged etfs, inverse etfs, daily rebalance
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
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.

"KMLM Structure Example" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM Structure Example" is currently allocated toPSQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM Structure Example" has returned 57.42%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM Structure Example" 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 "KMLM Structure Example", 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.