Semiconductor Vol Fractal RSI Trading - With Semiconductor Momo Rules Added
Today’s Change (Mar 5, 2026)
—
A symphony is an automated trading strategy — Learn more about symphonies here
About
A tactical chip‑sector strategy. It adapts to volatility, uses an RSI “heat gauge” to fade extremes (via 2× chip ETFs), and otherwise follows leader/market momentum to rotate into tech, sectors, or hedges. Daily rebalanced; uses leveraged/short ETFs.
How it worksIt trades chips (SOXX) tactically. First it checks how wild chips are. In wild markets it reacts faster; in calm markets it’s more patient. It uses RSI—a 0–100 “heat gauge” of recent moves. Very hot → it briefly bets against chips (SSG, a −2× chip fund). Very cold → it buys a +2× chip fund (USD). If neither, it asks: are chip leaders (NVDA, TXN, MU, ASML) beating the group and is the market risk‑on (industrials > utilities)? Then it rotates into tech (QQQ) and select sectors, or into hedges (gold, Treasuries like TLT/TMF, strong USD (UUP), volatility (VIXM), and inverse ETFs). Rebalances daily. Uses leveraged/short ETFs that can move 2–3×.
Value propOut-of-sample edge: ~14% annualized return with ~18.2% max drawdown, Calmar ~0.77, Sharpe ~0.52. Slightly better downside profile than the S&P and strong risk-adjusted exposure to semis, plus hedging/rotation benefits.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.26 | 0.56 | 0.21 | 0.46 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 634.65% | 14.83% | -0.15% | 0.4% | 0.9 | |
| 11,430.66% | 38.99% | -0.25% | 7.06% | 1.7 |
Initial Investment
$10,000.00
Final Value
$1,153,066.46Regulatory Fees
$5,934.20
Total Slippage
$32,775.92
Invest in this strategy
OOS Start Date
Sep 12, 2024
Trading Setting
Daily
Type
Stocks
Category
Semiconductors, rsi mean-reversion, momentum, volatility targeting, etf rotation, leveraged/inverse, risk-on/off, daily rebalance
Tickers in this symphonyThis symphony trades 33 assets in total
Ticker
Type
ASML
ASML Holding NV
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
EEV
ProShares Trust UltraShort MSCI Emerging Markets
Stocks
EFU
ProShares Trust UltraShort MSCI EAFE
Stocks
EUO
ProShares UltraShort Euro
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
IGV
iShares Expanded Tech-Software Sector ETF
Stocks
IYT
iShares U.S. Transportation ETF
Stocks
JNK
State Street SPDR Bloomberg High Yield Bond ETF
Stocks
KIE
State Street SPDR S&P Insurance ETF
Stocks