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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily trading system that rotates among several market-timing mini-strategies, favoring whichever have recently worked best and shifting between aggressive stock exposure and defensive assets.
This strategy is a manager of managers. Each day it tests several mini-strategies, many of which ask: “Is the stock market healthy or stressed?” If healthy, they often buy the strongest stock or tech funds, sometimes with leverage. If stressed, they rotate into safer areas like Treasury bills, bonds, utilities, gold, the U.S. dollar, or commodities.
Then it compares those mini-strategies and keeps the 3 that have done best recently, splitting money evenly across them.
Dynamic ensemble strategy rotates among top mini-systems to chase trends and defend in stress. OOS: ~34% annualized vs ~21% S&P; Sharpe ~1.33; Calmar ~1.02; beta ~0.95. Higher upside with diversification; larger drawdowns in bear markets.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.51 | 0.8 | 0.29 | 0.53 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 257.72% | 14.82% | -1.04% | -0.34% | 0.84 | |
| 23,708.55% | 81.02% | -0.9% | -5.53% | 2.27 |
Initial Investment
$10,000.00
Final Value
$2,380,854.76Regulatory Fees
$11,647.86
Total Slippage
$91,585.26
Invest in this strategy
OOS Start Date
Nov 17, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, ensemble, momentum, trend following, risk-on/risk-off, leveraged etfs, defensive rotation
Tickers in this symphonyThis symphony trades 88 assets in total
Ticker
Type
AAPL
Apple Inc.
Stocks
ADBE
Adobe Inc.
Stocks
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
AMD
Advanced Micro Devices
Stocks
AMGN
Amgen Inc
Stocks
AMZN
Amazon.Com Inc
Stocks
AVGO
Broadcom Inc. Common Stock
Stocks
AXP
American Express Company
Stocks
BA
Boeing Company
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks