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Symphonies
Risk on Risk off signal testing flux
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

All-in/all-out switch: buy SPY when short-maturity junk bonds trend better than inverse long‑Treasuries; otherwise hold short‑term Treasuries. Uses a 30‑day momentum score (RSI) of TTT vs SHYG as a risk‑on/risk‑off signal.
NutHow it works
It compares a simple 30‑day momentum score (RSI) of two “thermometers”: TTT (moves opposite long‑term Treasuries, a rate‑stress gauge) and SHYG (short‑maturity junk bonds, a risk‑appetite gauge). If SHYG scores higher than TTT, it buys SPY (U.S. large stocks). Otherwise it sits in SHY (short‑term Treasuries). It holds only one at a time and switches when the signal flips.
CheckmarkValue prop
Out-of-sample edge: 23.6% annualized return vs SPY’s 21.4%, Sharpe 1.96 vs 1.34, max drawdown 12.8% vs 18.8%, Calmar ~1.85. A simple all-in/all-out risk-on/risk-off switch delivers more upside with less downside vs the S&P 500.

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Invest in this strategy
OOS Start Date
Jun 29, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical allocation, risk-on/risk-off, momentum (rsi), etf rotation, stocks vs bonds
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SHYG
iShares 0-5 Year High Yield Corporate Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TTT
ProShares UltraPro Short 20+ Year Treasury
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.

"Risk on Risk off signal testing flux" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Risk on Risk off signal testing flux" is currently allocated toSHY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Risk on Risk off signal testing flux" has returned 20.70%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Risk on Risk off signal testing flux" is 12.75%. 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 "Risk on Risk off signal testing flux", 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.