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Symphonies
managed futures RSI sort
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily rotates into the single managed‑futures ETF with the lowest 15‑day RSI, betting the short‑term laggard rebounds. Exposure comes via futures on commodities, currencies, rates, and equity indexes. High turnover; concentrated in one fund.
NutHow it works
Each day it checks five managed‑futures ETFs: DBMF, CTA, KMLM, WTMF, FMF. These funds use futures to ride trends in commodities, currencies, interest rates, and stock indexes. It computes a 15‑day RSI (a 0–100 gauge of recent moves; low means it fell lately) and buys the one with the lowest RSI, putting 100% into it until the next day. Expect frequent switching and exposure to those global markets, not to single stocks.
CheckmarkValue prop
Out-of-sample edge: 15.9% annualized return with 12.2% max drawdown and Calmar ~1.31, plus a 1.20 Sharpe. Lower downside and uncorrelated macro-futures exposure offer steadier, risk-adjusted gains vs the S&P.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.220.090.020.13
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
71.42%13.67%1.36%13.5%0.82
managed futures RSI sort
159.98%25.5%-8.22%8.2%1.88
Initial Investment
$10,000.00
Final Value
$25,998.08
Regulatory Fees
$136.09
Total Slippage
$991.21
Invest in this strategy
OOS Start Date
May 1, 2024
Trading Setting
Daily
Type
Stocks
Category
Managed futures, cta, rsi, rotation, alternatives, contrarian, daily rebalance
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
CTA
Simplify Managed Futures Strategy ETF
Stocks
DBMF
iMGP DBi Managed Futures Strategy ETF
Stocks
FMF
First Trust Managed Futures Strategy Fund
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
WTMF
WisdomTree Managed Futures Strategy Fund
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.

"managed futures RSI sort" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"managed futures RSI sort" is currently allocated toCTA. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "managed futures RSI sort" has returned 15.89%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "managed futures RSI sort" is 12.18%. 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 "managed futures RSI sort", 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.