Skip to Content
Symphonies
Shy v. Spy: SPY (12d MDD, 12%)
Today’s Change
—

A symphony is an automated trading strategy — Learn more about symphonies here

About

A simple, binary rule: hold SPY if SPY’s last 12 trading days’ max drop is under 12%; otherwise move to SHY. Rebalanced daily, backtested since 2011-11-01, allocating 100% to the chosen asset (SPY or SHY) each day.
NutHow it works
- The strategy looks at SPY (the stock market ETF) and asks: has SPY fallen more than 12% from its recent peak in the last 12 trading days? - If SPY’s 12-day max drop is less than 12%, the strategy buys and holds SPY (invests 100% in SPY). - If SPY’s 12-day max drop is 12% or more, the strategy switches to SHY (invests 100% in the short-term Treasury ETF). - Rebalancing happens every trading day, so the allocation is always 100% to the chosen asset. - The backtest starts on 2011-11-01 to evaluate performance through time. - The rule uses a simple, explicit risk signal (short-window drawdown) to decide between equity exposure (SPY) and safety (SHY).
CheckmarkValue prop
Out-of-sample results favor this SPY/SHY switch: higher risk-adjusted return (Sharpe ≈ 1.45 vs 1.37), lower max drawdown (≈ 17.6% vs 18.8%), and Calmar ≈ 1.27, with staying in equities when drawdowns are mild.
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
Two-asset allocation; spy vs shy; drawdown-based switch; daily rebalance; backtested since 2011
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 20.09%. 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.