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

About

A daily switch that parks in T‑Bills when the S&P 500 is overheated, buys 3x Nasdaq on washouts or strong tech momentum, rotates to long Treasuries if trends look weak, and otherwise shorts the Nasdaq with -3x exposure.
NutHow it works
Checks daily. Uses RSI (0–100 gauge of recent buying/selling speed) on SPY (S&P 500) and XLK (US tech), plus a 20-day average on KMLM (a managed-futures trend ETF). If SPY is very hot (RSI>80) hold BIL (T-Bills). Else if very washed-out (RSI<30) buy TQQQ (3x Nasdaq-100). Else if tech beats KMLM on RSI, buy TQQQ. Else if KMLM is below its 20-day average, buy TLT (long Treasuries). Otherwise short Nasdaq with SQQQ (-3x).
CheckmarkValue prop
Out-of-sample Sharpe 1.73 vs SPY 1.42; Calmar 5.86; oos return ~147% vs ~27% for SPY. A daily regime-switching system: BIL in hot markets, TQQQ for Nasdaq upside, hedges with TLT/SQQQ. Higher drawdowns, but far larger upside.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
1.450.320.010.08
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
115.52%15.12%0.09%13.88%0.92
KMLM Switcher Testfolio
117,134.03%265.5%-2.11%46.76%2.34
Initial Investment
$10,000.00
Final Value
$11,723,403.44
Regulatory Fees
$10,910.05
Total Slippage
$97,985.53
Invest in this strategy
OOS Start Date
Mar 13, 2025
Trading Setting
Daily
Type
Stocks
Category
Tactical timing,momentum (rsi),trend filter,leveraged etfs,risk-on/risk-off,daily rebalanced
Tickers in this symphonyThis symphony trades 7 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
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 Switcher Testfolio" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM Switcher Testfolio" is currently allocated toTQQQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM Switcher Testfolio" has returned 147.05%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM Switcher Testfolio" is 25.11%. 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 Testfolio", 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.