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Symphonies
Mid-Term Volatility (3 tickers)
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, rules‑based VIX strategy that uses SPY’s short‑term “stretched” readings to switch among calming‑volatility (inverse mid‑term VIX), rising‑volatility (long mid‑term VIX), or a cash‑like bond fund, with a safety brake during panics.
NutHow it works
It reads SPY (big US stock fund) to judge if stocks are stretched. RSI is a 0–100 score of how hot/cold recent moves are; moving averages smooth prices. When SPY looks briefly weak (oversold), it usually buys an ETF that benefits if volatility calms (ZVOL). When SPY looks very hot (overbought), it buys a mid‑term VIX note that rises if fear picks up (VXZ). If panic is extreme (UVXY’s RSI high), it parks in an ultra‑short bond fund (PULS). It blends several RSI timeframes and rebalances daily.
CheckmarkValue prop
Out-of-sample edge: ~21.1% annualized return vs SPY ~15.9%; max drawdown ~7.5% vs ~18.8%; Sharpe ~1.55 vs ~0.86; Calmar ~2.82. Higher growth with far stronger risk-adjusted stability than the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.210.40.260.51
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
70.76%22.63%1.36%5.73%1.4
Mid-Term Volatility (3 tickers)
112.99%33.41%1.27%5.97%2.43
Initial Investment
$10,000.00
Final Value
$21,298.50
Regulatory Fees
$85.34
Total Slippage
$440.11
Invest in this strategy
OOS Start Date
Nov 22, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility/vix, tactical allocation, short & long volatility, risk-managed, daily rebalance, etfs/etns
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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.

"Mid-Term Volatility (3 tickers)" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Mid-Term Volatility (3 tickers)" is currently allocated toVXZandPULS. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Mid-Term Volatility (3 tickers)" has returned 21.11%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Mid-Term Volatility (3 tickers)" is 7.50%. 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 "Mid-Term Volatility (3 tickers)", 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, crypto, and options.