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Symphonies
RSI 2 Futures
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, rules around DBMF decide: buy dips, step aside to T‑Bills on rare spikes, or rotate into a low‑vol mix of stocks, Treasuries, and gold when DBMF is weak. Uses a 50‑day trend filter and a 2‑day RSI “heat meter.”
NutHow it works
Each day the strategy centers on DBMF (a trend‑following managed‑futures ETF). If DBMF is above its 50‑day average, it holds DBMF—unless a 2‑day RSI (a quick hot/cold meter) is extremely hot (>97.5), then it parks in T‑Bills (BIL). If below the 50‑day average, it holds DBMF only when very cold (RSI<20); otherwise it owns a low‑vol mix of SPY/IEF/TLT/GLD, sized by recent volatility.
CheckmarkValue prop
Out-of-sample edge: Sharpe 1.32 vs 0.97; drawdown 7.65% vs 18.76%; Calmar ~1.58; beta ~0.21. Diversified, trend-following strategy offers smoother downside and stronger risk-adjusted returns vs the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.130.120.040.2
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
151.18%14.94%0.54%-0.34%0.79
RSI 2 Futures
150.18%14.87%3.6%9.73%1.24
Initial Investment
$10,000.00
Final Value
$25,017.95
Regulatory Fees
$151.29
Total Slippage
$894.95
Invest in this strategy
OOS Start Date
Sep 29, 2024
Trading Setting
Daily
Type
Stocks
Category
Managed futures, trend following, rsi(2) mean reversion, tactical allocation, risk parity, etf rotation, daily rebalance, defensive overlay
Tickers in this symphonyThis symphony trades 6 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
DBMF
iMGP DBi Managed Futures Strategy ETF
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
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.

"RSI 2 Futures" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"RSI 2 Futures" is currently allocated toDBMF. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "RSI 2 Futures" has returned 13.11%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "RSI 2 Futures" is 7.65%. 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 "RSI 2 Futures", 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.