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Symphonies
Shy v. Spy: SPY (12d MDD, 12%)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Own SPY unless it has fallen 12% or more from a recent high within the past 12 trading days; otherwise park in SHY. Daily check. A simple crash‑avoidance switch between U.S. stocks and short‑term Treasuries. Backtested since 2011.
NutHow it works
Each day it asks: has SPY (an S&P 500 stock fund) dropped 12%+ from a recent high during the last 12 trading days (~2 weeks)? If no, it holds SPY (broad U.S. stocks). If yes, it moves 100% to SHY (short‑term U.S. Treasury bonds) to sit out the slide. It checks daily and switches back once that big drop is no longer in the last 12 days.
CheckmarkValue prop
Smarter downside protection with solid upside. OOS Sharpe 1.45 vs SPY 1.37; Calmar 1.27; beta ~0.83; max drawdown 17.6% vs 18.8%; annual return ~22.4% vs 23.0%. A daily rule shifts to SHY after a 12%/12d drop, reducing tail risk.

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Invest in this strategy
OOS Start Date
Oct 3, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, crash filter, risk management, us equities, treasuries
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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.

"Shy v. Spy: SPY (12d MDD, 12%)" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Shy v. Spy: SPY (12d MDD, 12%)" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Shy v. Spy: SPY (12d MDD, 12%)" has returned 21.14%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Shy v. Spy: SPY (12d MDD, 12%)" is 17.58%. 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 "Shy v. Spy: SPY (12d MDD, 12%)", 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.