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Symphonies
Shy v. Spy: UVXY (20d, RSI, 70)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, RSI-driven switch: UVXY RSI(20) < 70 → go to SPY (stocks); RSI(20) ≥ 70 → go to SHY (short-term bonds). Uses UVXY as a fear/volatility gauge to toggle between risk-on and risk-off allocations.
NutHow it works
- Each day, compute UVXY's 20-day Relative Strength Index (RSI). - If RSI(20) of UVXY is less than 70, allocate 100% to SPY (S&P 500 ETF). - If RSI(20) of UVXY is 70 or higher, allocate 100% to SHY (short-term U.S. Treasuries). - Rebalance daily to maintain a single-asset exposure (either SPY or SHY) based on the rule.
CheckmarkValue prop
RSI(20) UVXY-driven daily switch between SPY and SHY. Out-of-sample Sharpe ~1.33, beta ~0.86, Calmar ~0.91, and ~20.6% annualized return. Delivers risk-aware diversification and a volatility-driven edge vs SPY.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.030.820.820.9
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
608.48%14.63%-1.77%0.2%0.9
Shy v. Spy: UVXY (20d, RSI, 70)
667.04%15.27%-1.77%0.2%1.01
Initial Investment
$10,000.00
Final Value
$76,703.54
Regulatory Fees
$17.88
Total Slippage
$122.37
Invest in this strategy
OOS Start Date
Oct 3, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, volatility signal, rsi-based switch, spy/shy, daily rebalance
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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.

"Shy v. Spy: UVXY (20d, RSI, 70)" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Shy v. Spy: UVXY (20d, RSI, 70)" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Shy v. Spy: UVXY (20d, RSI, 70)" has returned 18.41%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Shy v. Spy: UVXY (20d, RSI, 70)" is 22.67%. 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: UVXY (20d, RSI, 70)", 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.