Skip to Content
Symphonies
Market-regime: LQD vs SPY
Today’s Change
—

A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily rule-based market regime that switches between SPY (stocks) and BIL (cash-like) by comparing RSI momentum on LQD vs SPY; if bonds show stronger momentum, go to SPY; otherwise stay in cash-like exposure.
NutHow it works
Every trading day, compute two momentum signals. RSI_LQD uses a 14-day window for LQD; RSI_SPY uses a 10-day window for SPY. If RSI_LQD > RSI_SPY, the system selects SPY (stocks) with a cash-based weighting. If RSI_LQD <= RSI_SPY, it selects BIL (cash-like). The result is a daily switch between SPY and BIL, driven by whether bonds (LQD) show stronger recent momentum than stocks (SPY). The setup is titled to reflect comparing LQD against SPY, and it rebalances daily.
CheckmarkValue prop
Out-of-sample edge: higher risk-adjusted returns with smaller drawdowns vs S&P 500. Annualized 20.7% vs 18.6%; drawdown 14.3% vs 18.8%; Sharpe 1.29; Calmar 1.44; beta 0.67. Daily LQD/SPY momentum guides SPY or BIL exposure.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.080.610.610.78
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
517.59%10.19%-2.02%-1.16%0.59
Market-regime: LQD vs SPY
1,306.89%15.13%-0.8%1.47%0.99
Initial Investment
$10,000.00
Final Value
$140,688.63
Regulatory Fees
$789.03
Total Slippage
$5,371.38
Invest in this strategy
OOS Start Date
Jan 7, 2025
Trading Setting
Daily
Type
Stocks
Category
Market-regime, momentum, etf, daily-rebalance, rule-based
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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.

"Market-regime: LQD vs SPY" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Market-regime: LQD vs SPY" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Market-regime: LQD vs SPY" has returned 16.46%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Market-regime: LQD vs SPY" is 14.33%. 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 "Market-regime: LQD vs SPY", 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.