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Symphonies
KMLM Switcher Testfolio - No Shorts
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily market-timing strategy that switches 100% between cash-like T-bills, aggressive leveraged tech, and long-term Treasury bonds based on recent market and tech momentum.
NutHow it works
Each day, the strategy puts all its money into just one holding. If the overall U.S. stock market (SPY) has risen very fast recently, it moves to BIL, a cash-like Treasury-bill fund. If the market has fallen very hard recently, it buys TQQQ, a very aggressive tech fund. Otherwise, it compares recent strength in tech stocks (XLK) with KMLM, a trend-following fund. If tech is stronger, it buys TQQQ; if not, it buys TLT, a long-term Treasury bond fund.
CheckmarkValue prop
Out-of-sample, this strategy beats the S&P on risk-adjusted return (Sharpe 1.38 vs 1.23) with Calmar 2.90 and outsized upside (82.8% annualized) by regime-switching among cash, leveraged tech, and Treasuries.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.511.970.450.67
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
124.61%14.79%-1.04%-0.34%0.92
KMLM Switcher Testfolio - No Shorts
5,638.5%99.47%-13.41%-12.49%1.67
Initial Investment
$10,000.00
Final Value
$573,850.24
Regulatory Fees
$886.93
Total Slippage
$7,350.74
Invest in this strategy
OOS Start Date
Mar 13, 2025
Trading Setting
Daily
Type
Stocks
Category
Market timing, tactical allocation, momentum, rsi, leveraged equity, treasury bonds, managed futures signal
Tickers in this symphonyThis symphony trades 6 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
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 - No Shorts" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM Switcher Testfolio - No Shorts" is currently allocated toTLT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM Switcher Testfolio - No Shorts" has returned 82.83%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM Switcher Testfolio - No Shorts" is 28.57%. 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 - No Shorts", 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.
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