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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 daily tail‑risk sleeve: it normally holds a calmer UUP (US$)/GLD (gold) mix, but briefly flips into UVXY to catch volatility spikes when leveraged equity ETFs (TQQQ/SPXL) look overheated (high 10‑day RSI) and SPY is in an uptrend. No direct stock exposure.
NutHow it works
Every day it: 1) Tests trend: is SPY above its 200‑day average price (a long‑term uptrend gauge)? If no, hold UUP (US dollar) + GLD (gold), sized by inverse 30‑day volatility. If yes, it looks for “overheated” stocks via 10‑day RSI (a 0–100 heat score of recent gains). If TQQQ (3x Nasdaq) or, failing that, SPXL (3x S&P) has RSI>79, it buys UVXY (a VIX‑futures ETF that jumps when fear spikes). If not, it stays in the UUP/GLD mix.
CheckmarkValue prop
Out-of-sample edge: higher risk-adjusted performance (oos Sharpe 1.87 vs 1.36; Calmar 2.29) and lower drawdown (~8% vs ~19%). A defensive USD/Gold sleeve with selective UVXY hedging preserves capital vs the S&P 500.

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Invest in this strategy
OOS Start Date
Sep 24, 2022
Trading Setting
Daily
Type
Stocks
Category
Tail-risk hedge, volatility, tactical, rsi, trend filter, gold, us dollar
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 ETF
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 18.56%. 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.