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Symphonies
KMLM with LETFs in the condition
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Chases short‑term strength in leveraged tech/semis when they outscore KMLM (a managed‑futures fund) and otherwise parks in T‑bills. Concentrated and high risk when “on,” cash‑like when “off.”
NutHow it works
It checks 10-day momentum (RSI: a 0–100 score of recent gains). If SOXL (3x semiconductors) beats KMLM (managed‑futures), buy SOXL. Else if TECL (3x technology) beats KMLM, buy TECL. Else if USD (U.S. dollar) or SMH (semis ETF) beat KMLM, still buy TECL. If none beat KMLM, hold BIL (T‑bills). One holding at a time; trades when signals flip. Note: SOXL/TECL are very volatile.
CheckmarkValue prop
Out-of-sample annualized return 21.45% vs 17.87% for the S&P, driven by short-term tech/semis momentum with built-in cash protection when signals fade. Higher upside, but expect larger drawdowns in volatile markets.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.692.330.30.55
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
99.13%14.19%-0.15%0.4%0.87
KMLM with LETFs in the condition
5,597.39%117.9%-4.25%5.91%1.44
Initial Investment
$10,000.00
Final Value
$569,739.07
Regulatory Fees
$1,602.17
Total Slippage
$10,350.60
Invest in this strategy
OOS Start Date
Aug 17, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical momentum, rsi filter, leveraged etfs, tech/semiconductors, trend-following, risk-on/risk-off, cash alternative
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
SMH
VanEck Semiconductor ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X Shares
Stocks
TECL
Direxion Daily Technology Bull 3x Shares
Stocks
USD
ProShares Ultra Semiconductors
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 with LETFs in the condition" is currently performing the same as yesterday today. Performance updates in real time during market hours.

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

Year-to-date, "KMLM with LETFs in the condition" has returned 12.13%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "KMLM with LETFs in the condition" is 59.02%. 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 with LETFs in the condition", 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.