Sharpe Output of Tangency Portfolio 15
Today’s Change (Mar 18, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, rules-based portfolio that rotates across US/international stocks, Treasuries/TIPS, energy/commodities and volatility hedges. It trims risk when markets run hot, buys dips in selloffs, and can use leveraged or inverse ETFs to lean into or hedge trends.
How it worksIt’s a daily, rules-driven mix of stocks, bonds, commodities/energy, and volatility hedges. It watches three simple gauges: RSI (0–100 heat of recent moves; high=overbought, low=oversold), moving averages (trend), and volatility.
- When stocks run hot or vol jumps, it shifts to safety (T‑bills, BTAL market‑neutral, EUM short emerging‑markets, VIX funds) or even shorts semis.
- In calm uptrends it rides tech/energy, sometimes with leveraged ETFs.
- In selloffs it buys select dips.
- It also rotates among Treasuries/TIPS (and can go long or short). If signals conflict, it parks in T‑bills.
Value propThis diversified, rules-based strategy targets risk control across stocks, bonds, commodities and hedges. OOS: ~7.9% return with ~12.7% max drawdown vs SPY’s ~18.8%—lower downside and steadier risk-adjusted performance than the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.44 | 0.4 | 0.2 | 0.44 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 607.88% | 14.68% | -1.77% | 0.2% | 0.91 | |
| 112,721.87% | 63.53% | -0.78% | -1.8% | 3.33 |
Initial Investment
$10,000.00
Final Value
$11,282,186.75Regulatory Fees
$42,703.53
Total Slippage
$280,129.72
Invest in this strategy
OOS Start Date
Oct 8, 2024
Trading Setting
Daily
Type
Stocks
Category
Rules-based tactical allocation, multi-asset, trend + mean reversion, volatility hedging, leveraged/inverse etfs, daily rebalance
Tickers in this symphonyThis symphony trades 74 assets in total
Ticker
Type
AGG
iShares Core U.S. Aggregate Bond ETF
Stocks
AIA
iShares Asia 50 ETF
Stocks
BGX
Blackstone Long-Short Credit Income Fund
Stocks
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
BOIL
ProShares Ultra Bloomberg Natural Gas
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
DBO
Invesco DB Oil Fund
Stocks
EDC
Direxion Daily MSCI Emerging Markets Bull 3X ETF
Stocks