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Symphonies
KMLM trend v1 | BT 30 Dec 2020
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A tactical, rules-based rotation that uses the S&P 500’s trend, KMLM’s short-term trend, and a “heat meter” (RSI) to switch among 3x tech/semis, a defensive trio (BTAL/SPLV/IEF), volatility (VIXY), short bonds (TMV), or short tech (TECS).
NutHow it works
It’s a rules-based switch. 1) Is the S&P 500 above its 200‑day average? If yes, market uptrend. 2) Use KMLM (a managed‑futures fund) vs its 20‑day average to gauge macro stress. 3) A heat meter (RSI, 0–100) judges if prices are too hot, cold, or normal: too hot → move to VIXY or a defensive mix (BTAL/SPLV/IEF); very cold → bargain buys (TECL or SPXL); otherwise pick the stronger of TECL or SOXL. In downtrends it may also short tech (TECS) or short long bonds (TMV).
CheckmarkValue prop
OOS: ~11% annualized return vs SPY ~18%; Sharpe ~0.51 vs ~1.03; max drawdown ~57% vs ~19%. A diversified, rules-based rotation with hedges (VIXY, defense) to navigate regime shifts alongside SPY.

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Invest in this strategy
OOS Start Date
Aug 27, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical rotation, trend-following, momentum, mean-reversion, leveraged etfs, volatility hedge, defensive tilt
Tickers in this symphonyThis symphony trades 12 assets in total
Ticker
Type
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SPLV
Invesco S&P 500 Low Volatility ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TECS
Direxion Daily Technology Bear 3x ETF
Stocks
TMV
Direxion Daily 20+ Year Treasury Bear 3X 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 trend v1 | BT 30 Dec 2020 " is currently performing the same as yesterday today. Performance updates in real time during market hours.

"KMLM trend v1 | BT 30 Dec 2020 " is currently allocated toTMV. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "KMLM trend v1 | BT 30 Dec 2020 " has returned 29.60%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM trend v1 | BT 30 Dec 2020 " is 57.43%. 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 trend v1 | BT 30 Dec 2020 ", 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.