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Symphonies
Simons KMLM FULL BUILD
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A very aggressive market-timing strategy that jumps between leveraged stock funds, volatility trades, and KMLM. It tries to buy sharp dips, bet on fear after overheating, and use KMLM as a defensive fallback.
NutHow it works
This strategy is always 100% in one holding. It first checks whether several parts of the stock market look too overheated using a short-term momentum gauge called RSI. If they do, it buys UVXY, a fund that tends to rise when market fear jumps. If not, it looks for sharp short-term selloffs in aggressive funds tied to tech, semiconductors, the S&P 500, or biotech, and buys one of them for a rebound. When those aggressive trades do not look attractive, it compares them to KMLM, a managed-futures fund often used as a defensive holding in messy markets. If KMLM looks stronger, the strategy falls back to KMLM or, in some cases, a fund that bets against tech.
CheckmarkValue prop
Out-of-sample edge: Sharpe ~1.19 vs 1.06, Calmar ~1.87, and annualized return ~92% vs 17% for the S&P 500. A focused, single-position system aimed at big rebounds, with higher drawdown risk (~49%).
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
2.410.3400.07
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
85.23%14.67%-0.05%3.57%0.89
Simons KMLM FULL BUILD
1,423,458.87%735.91%3.07%22.49%3
Initial Investment
$10,000.00
Final Value
$142,355,887.02
Regulatory Fees
$378,269.47
Total Slippage
$3,616,726.54
Invest in this strategy
OOS Start Date
Aug 17, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Tactical asset allocation, market timing, leveraged etfs, volatility trading, managed futures, mean reversion, risk-on/risk-off
Tickers in this symphonyThis symphony trades 21 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
LABU
Direxion Daily S&P Biotech Bull 3X ETF
Stocks
QQQE
Direxion Shares ETF Trust Direxion NASDAQ-100 Equal Weighted Index ETF
Stocks
SMH
VanEck Semiconductor ETF
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVIX
-1x Short VIX Futures ETF
Stocks
TECL
Direxion Daily Technology Bull 3x 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.

"Simons KMLM FULL BUILD" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Simons KMLM FULL BUILD" is currently allocated toKMLM. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Simons KMLM FULL BUILD" has returned 89.88%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Simons KMLM FULL BUILD" is 49.19%. 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 "Simons KMLM FULL BUILD", 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.
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