Skip to Content
Symphonies
KMLM Switcher of Simon97 - Original
Today’s Change
—

A symphony is an automated trading strategy — Learn more about symphonies here

About

Trades short-term extremes: bets on a volatility pop (UVXY) when stocks are too hot, and buys 3x equity rebounds (TECL/SOXL/SPXL) when too cold. If no extremes, it uses tech vs KMLM to switch between risk-on mean-reversion and defensive (SQQQ or TLT).
NutHow it works
Uses RSI (a 0–100 “too hot/too cold” gauge). If big stock ETFs look extremely hot (RSI ~80), it buys UVXY, a fund that jumps when market fear (VIX) pops. If they look very cold (RSI <30), it buys rebound plays: TECL (3x tech), SOXL (3x semis), SPXL (3x S&P). If no extremes, it compares tech (XLK) to KMLM (managed‑futures) to pick: mean‑revert in TECL/SOXL/SVIX (short VIX), or go defensive in SQQQ (short Nasdaq) or TLT (Treasuries).
CheckmarkValue prop
RSI-driven volatility timing using 3x ETFs to chase extremes and rebounds. Out-of-sample: Sharpe ~1.59 vs SPY ~1.0, beta ~0.80, Calmar ~4.43, with far higher annualized upside than the S&P 500.

Loading backtest data...

Invest in this strategy
OOS Start Date
Jul 22, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Rsi mean-reversion, volatility timing, leveraged etfs, tech/semis/s&p exposure, defensive switch (sqqq/tlt), kmlm signal
Tickers in this symphonyThis symphony trades 20 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
QQQE
Direxion Shares ETF Trust Direxion NASDAQ-100 Equal Weighted Index ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
SVIX
-1x Short VIX Futures ETF
Stocks
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TLT
iShares 20+ Year Treasury Bond 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 Switcher of Simon97 - Original" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM Switcher of Simon97 - Original" is currently allocated toSQQQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM Switcher of Simon97 - Original" has returned 173.68%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM Switcher of Simon97 - Original" is 36.10%. 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 Switcher of Simon97 - Original", 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.