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Symphonies
Layer 1: Black Swan (RSI)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A tail‑risk layer: when an up‑trending market gets overheated, jump into UVXY to catch volatility spikes; otherwise sit in a defensive blend of the U.S. dollar (UUP) and gold (GLD), sized by recent calmness. Rebalanced daily.
NutHow it works
Each day: 1) Check trend: if the S&P 500 (SPY) is above its long‑term 200‑day average, go to step 2; otherwise hold a defensive mix of U.S. dollar (UUP) and gold (GLD), giving more weight to the calmer one over the last 30 days. 2) If a 10‑day “speed/heat” gauge (RSI) on TQQQ or SPXL is very high (>79), switch to UVXY, a fund that jumps when market fear spikes. If not, stay in the UUP/GLD mix. Rebalanced daily.
CheckmarkValue prop
Out-of-sample, this strategy offers better risk-adjusted returns than the S&P: Sharpe ~1.87 vs 1.36, drawdown ~8% vs ~19%, Calmar ~2.29, near-zero beta. It hedges with UUP/GLD and uses UVXY only on spikes.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.32-0.160.01-0.11
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
690.81%15.5%1.75%5.97%0.94
Layer 1: Black Swan (RSI)
4,561.17%30.7%0.69%2.48%1.19
Initial Investment
$10,000.00
Final Value
$466,116.63
Regulatory Fees
$511.30
Total Slippage
$3,008.38
Invest in this strategy
OOS Start Date
Sep 24, 2022
Trading Setting
Daily
Type
Stocks
Category
Volatility hedge, trend filter, rsi overbought trigger, safe-haven rotation, tactical
Tickers in this symphonyThis symphony trades 6 assets in total
Ticker
Type
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x Shares
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
UUP
Invesco DB US Dollar Index Bullish Fund
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures 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.

"Layer 1: Black Swan (RSI)" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Layer 1: Black Swan (RSI)" is currently allocated toGLDandUUP. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Layer 1: Black Swan (RSI)" has returned 18.36%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Layer 1: Black Swan (RSI)" is 7.99%. 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 "Layer 1: Black Swan (RSI)", 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.