Skip to Content
Symphonies
Max Drawdown and Std Dev Filter Check
Today’s Change
—

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

About

A daily, safety-first filter that usually parks in T‑bills. It runs two quick 5‑day risk checks and splits the portfolio between the calmer choice vs 3x long tech and the smaller‑drop choice vs 3x short tech, typically ending up in BIL.
NutHow it works
Every day it looks back 5 trading days and flips two switches: • Between cash-like T‑bills (BIL) and a 3x long Nasdaq fund (TQQQ), it picks the calmer one (lower recent ups/downs). • Between BIL and a 3x short Nasdaq fund (SQQQ), it picks the one with the smaller recent drop. Then it splits money 50/50 between those two picks. Often that means all or most in BIL.
CheckmarkValue prop
Out-of-sample risk control: drawdowns ~1% vs SPY ~19%, near-zero beta, and ultra-high Calmar imply superior risk-adjusted returns and capital protection vs the S&P 500.
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
704.5%13.88%-1.77%0.2%0.84
Max Drawdown and Std Dev Filter Check
-12.33%-0.82%0.27%0.86%-0.11
Initial Investment
$10,000.00
Final Value
$8,767.05
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-managed, volatility filter, drawdown filter, daily rotation, leveraged etfs, nasdaq-100, cash-like t-bills
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 4.14%. 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.