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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

A simple safety switch: stay fully in SPY unless SPY has fallen 12% or more within the past 12 trading days; then move to SHY (short‑term Treasuries). Checked daily to try to sidestep sharp stock selloffs.
NutHow it works
Each day it picks between: - SPY: a fund of the 500 biggest U.S. stocks (sectors like tech, health care, financials). - SHY: a fund of 1–3 year U.S. Treasury bonds (safer). Test: in the last 12 trading days, what was SPY’s largest drop from a recent high? (e.g., $100 to $88 = 12%). - If under 12%, hold 100% SPY. - If 12%+, switch to 100% SHY until conditions calm.
CheckmarkValue prop
Out-of-sample data show this SPY/SHY strategy beats SPY on risk-adjusted return: Sharpe 1.45 vs 1.37, Calmar 1.27, drawdown 17.6% vs 18.8%, and ~22.4% annualized return vs ~23.0%, with lower beta.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.020.750.740.86
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,107.98%11.13%-1.77%0.2%0.65
Shy v. Spy: SPY (12d MDD, 12%)
985.66%10.63%-1.77%0.2%0.7
Initial Investment
$10,000.00
Final Value
$108,565.82
Regulatory Fees
$17.05
Total Slippage
$114.55
Invest in this strategy
OOS Start Date
Oct 3, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, risk-on/risk-off, s&p 500 equity, short-term treasuries, drawdown trigger, daily check
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 20.16%. 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.