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

About

Daily strategy around long‑term Treasuries: stay long TMF when it’s trending up, flip to TMV when TMF looks overheated, and if TMF isn’t in an uptrend, either short it on spikes or sit in a SPY/GLD mix weighted by recent stability.
NutHow it works
Every day it looks at TMF, a 3x fund tied to long‑term U.S. Treasury bonds. RSI(2) is a 2‑day “hot/cold” score from 0–100; a 100‑day moving average is a simple trendline. - If TMF is above its 100‑day trend: usually hold TMF; but if RSI>90, briefly switch to TMV (the 3x short version). - If TMF is below trend: if RSI>90, hold TMV; otherwise hold SPY (big U.S. stocks) and GLD (gold) with more weight on the steadier one (past 30‑day).
CheckmarkValue prop
Out-of-sample: ~21% annualized return vs SPY ~17%, with higher risk-adjusted metrics (Sharpe ~1.0, Calmar ~1.59) and smaller drawdowns (13.3% vs 18.8%). Positive alpha and low beta offer upside with downside protection vs the S&P 500.

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Invest in this strategy
OOS Start Date
Sep 29, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, treasuries focus, rsi mean‑reversion, 100‑day trend filter, leveraged etfs, spy/gld hedge
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TMF
Direxion Daily 20+ Year Treasury Bull 3X Shares (based on the NYSE 20 Year Plus Treasury Bond Index; symbol AXTWEN)
Stocks
TMV
Direxion Daily 20+ Year Treasury Bear 3X Shares (based on the NYSE 20 Year Plus Treasury Bond Index; symbol AXTWEN)
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 TMF" is currently performing the same as yesterday today. Performance updates in real time during market hours.

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

Year-to-date, "RSI 2 TMF" has returned 21.47%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "RSI 2 TMF" is 13.35%. 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 TMF", 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.