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Symphonies
Simons KMLM switcher (single pops)| BT 4/13/22 = A.R. 466% / D.D. 22% V2
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Event‑driven switcher: buys UVXY when markets look overheated (to catch volatility pops); buys select leveraged stock funds after sharp drops (for bounces); otherwise rotates between tech/short‑vol and defensive plays using a KMLM‑vs‑tech trend test. High risk.
NutHow it works
RSI = 0–100 heat meter of recent (10‑day) moves. 1) If markets look very hot (~80), buy UVXY to catch a vol pop. 2) If very cold (~25–30), buy bounces: TECL/SOXL, SPXL, LABU. 3) Compare tech (XLK) vs KMLM. If tech wins: buy the 2 most beaten‑up of TECL/SOXL/SVIX. If KMLM wins: hold the stronger of SQQQ or TLT. Usually 1 holding; sometimes 2; switches on signals. TECL/SOXL/SPXL/LABU=3x stocks; UVXY/SVIX=vol; TLT=bonds; KMLM=managed‑fut.
CheckmarkValue prop
Out-of-sample edge: higher risk-adjusted returns vs the S&P. Sharpe ~1.83 vs ~1.00; Calmar ~7; annualized return ~225% vs ~18%. Drawdowns larger (~31% vs ~19%), but disciplined, signal-driven rotation aims for outsized upside.

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Invest in this strategy
OOS Start Date
Jul 22, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Volatility pops, mean reversion, trend rotation, leveraged etfs, managed futures signal, risk-on/off
Tickers in this symphonyThis symphony trades 20 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x Shares
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
LABU
Direxion Daily S&P Biotech Bull 3X Shares
Stocks
QQQE
Direxion NASDAQ-100 Equal Weighted Index Shares
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X Shares
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x Shares
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
SVIX
-1x Short VIX Futures ETF
Stocks
TECL
Direxion Daily Technology Bull 3x Shares
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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toTLT. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 219.17%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 31.43%. 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 the symphony, 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.