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Symphonies
Short Vol Andrew Taylor
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, rules‑based “short volatility” strategy. It prefers SVXY when markets are calm and trending up, flips to UVXY when volatility spikes, uses UPRO in strong stock uptrends, may tactically short tech via SQQQ when overbought, otherwise holds T‑Bills (BIL).
NutHow it works
Each day it picks from five ETFs. Base case: if volatility looks calm and the short‑vol fund (SVXY) is in an uptrend, it owns SVXY. If calm breaks, it may switch to the long‑vol fund (UVXY) when stress is rising, or sit in T‑Bills (BIL). If stocks are trending up, it can use 3x S&P 500 (UPRO). If the market looks extremely hot, it may briefly short tech (SQQQ).
CheckmarkValue prop
Out-of-sample: ~25.3% annualized vs SPY’s ~14.8%, with Calmar ~1.04 and Sharpe ~0.72. Dynamic volatility/trend hedges target stronger growth and risk-adjusted upside, though drawdowns can run ~24%.

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Invest in this strategy
OOS Start Date
Nov 29, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility trading, tactical asset allocation, trend following, leveraged etfs, vix etps, risk-on/risk-off
Tickers in this symphonyThis symphony trades 6 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
UPRO
ProShares UltraPro S&P 500
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures 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.

"Short Vol Andrew Taylor" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Short Vol Andrew Taylor" is currently allocated toSVXYandUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Short Vol Andrew Taylor" has returned 12.75%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Short Vol Andrew Taylor" is 24.21%. 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 "Short Vol Andrew Taylor", 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.