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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

Simple crash guard: stay in SPY unless SPY has fallen 12% or more from a recent high within the past 12 days; then switch fully to SHY. Checked daily. Mostly in stocks, shifts to short-term Treasuries during sharp selloffs.
NutHow it works
Every day it checks SPY’s worst drop from a recent high over the last 12 trading days (its 12‑day “max drawdown”). If that worst drop is under 12%, it holds 100% SPY (US large-cap stocks). If it’s 12% or more, it moves 100% into SHY (1–3 year US Treasury bonds).
CheckmarkValue prop
Out-of-sample, this strategy outperforms the S&P on risk-adjusted grounds: higher Sharpe (≈1.45 vs 1.37), lower max drawdown (≈17.6% vs 18.8%), and a lower beta, while preserving similar upside (≈22.7% vs 23.4%).

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Invest in this strategy
OOS Start Date
Oct 3, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, risk switch, us equities, treasuries, crash protection, daily rebalancing
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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 22.75%. 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, crypto, and options.