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Symphonies
Max Drawdown and Std Dev Filter Check
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, it picks the calmer choices between cash‑like T‑Bills and 3x Nasdaq funds using recent “bumpiness” and worst drop, then splits between the two picks. Most of the time it ends up in T‑Bills.
NutHow it works
Every day it runs two simple “safety” checks: (1) Between TQQQ (a 3x tech‑heavy Nasdaq fund) and BIL (cash‑like T‑Bills), it keeps whichever was calmer over the last 5 days. (2) Between SQQQ (3x inverse Nasdaq) and BIL, it keeps the one with the smaller worst 5‑day drop. It then splits money equally between the two picks. In practice, BIL’s stability means it’s usually all BIL.
CheckmarkValue prop
Out-of-sample, this strategy shows extraordinary risk-adjusted performance and tight drawdown control: Sharpe ~20.6 vs S&P ~0.8; max drawdown ~1% vs ~19%; a defensive, cash-like bias with Nasdaq upside when markets are calm.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0-0.060.03-0.17
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
706.4%13.92%-2.64%-1.35%0.85
Max Drawdown and Std Dev Filter Check
-12.41%-0.82%0.27%0.87%-0.11
Initial Investment
$10,000.00
Final Value
$8,759.39
Regulatory Fees
$12.76
Total Slippage
$79.38
Invest in this strategy
OOS Start Date
Nov 16, 2024
Trading Setting
Daily
Type
Stocks
Category
Risk filters, volatility/drawdown, leveraged nasdaq etfs, t-bills, defensive, daily rebalance
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
TQQQ
ProShares UltraPro QQQ
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.

"Max Drawdown and Std Dev Filter Check" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Max Drawdown and Std Dev Filter Check" is currently allocated toBIL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Max Drawdown and Std Dev Filter Check" has returned 4.16%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Max Drawdown and Std Dev Filter Check" is 0.01%. 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 "Max Drawdown and Std Dev Filter Check", 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.