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

About

Rides leveraged U.S. tech unless a managed-futures fund (KMLM) is both stronger than tech and in an uptrend; then it parks in T-bills (BIL). Uses a 10-day RSI comparison and a 20-day trend filter. Daily rebalanced; high risk when in TECL.
NutHow it works
Daily check: Compare recent strength of U.S. tech (XLK) vs a managed-futures fund (KMLM: trend-following across commodities, rates, currencies). Strength = RSI, a gauge of how much price has risen vs fallen over ~2 weeks. If tech is stronger, buy TECL (3x leveraged tech). If not, see if KMLM is above its 20-day average (an uptrend). If yes, hold BIL (T-bills/cash). If no, still buy TECL. Rebalances daily; TECL is very volatile.
CheckmarkValue prop
Out-of-sample edge: ~42% annualized return vs SPY ~17.7%. Uses a clear risk-off rule to park in cash when macro trends favor KMLM. Higher upside, but larger drawdowns (~52%) and slightly lower Sharpe (~0.86 vs ~1.02).
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.612.130.450.67
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
99.19%14.68%2.19%5.01%0.89
KMLM Test
5,054.91%118.92%-5.36%-3.46%1.71
Initial Investment
$10,000.00
Final Value
$515,490.99
Regulatory Fees
$594.95
Total Slippage
$3,987.90
Invest in this strategy
OOS Start Date
Aug 19, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation,momentum,trend filter,leveraged etfs,technology sector,cash management,risk-on/risk-off
Tickers in this symphonyThis symphony trades 4 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
TECL
Direxion Daily Technology Bull 3x Shares
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 Test" is currently performing the same as yesterday today. Performance updates in real time during market hours.

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

Year-to-date, "KMLM Test" has returned 42.34%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM Test" is 51.72%. 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 Test", 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.