Skip to Content
Symphonies
New Symphony
Today’s Change
—

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

About

A daily risk-on/risk-off switch: in high volatility it parks in T‑Bills (BIL). When markets are calm, it compares short‑term strength (RSI) of stocks (SPY) vs short Treasuries (SHY) to choose either 3× S&P 500 (UPRO, contrarian) or SHY.
NutHow it works
Daily: 1) Check the past‑14‑day volatility of the S&P 500 (SPY). If it’s ≥1% (turbulent), hold T‑Bills (BIL = 1–3mo U.S. Treasury bills). 2) If it’s calm (<1%), compare a 14‑day “strength” score (RSI = 0–100 gauge of recent buying vs selling) for stocks (SPY) vs short Treasuries (SHY = 1–3yr). If stocks’ score is lower (contrarian), buy 3× S&P 500 (UPRO); else hold SHY.
CheckmarkValue prop
Out-of-sample edge: annualized return ~52.9% vs SPY ~21.5%; Sharpe ~2.0 vs ~1.29; Calmar ~3.0; max drawdown ~17.9% vs ~18.8%. A disciplined risk-on/risk-off strategy with superior risk-adjusted gains.

Loading backtest data...

Invest in this strategy
OOS Start Date
Dec 24, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, volatility filter, rsi, s&p 500, leveraged etf, treasuries, risk-on/risk-off, daily rebalance
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
UPRO
ProShares UltraPro S&P 500
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.

"New Symphony" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"New Symphony" is currently allocated toUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "New Symphony" has returned 45.89%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "New Symphony" is 17.87%. 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 "New Symphony", 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.