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Simons KMLM switcher (single pops)| BT 4/13/22 = A.R. 466% / D.D. 22%
Today’s Change

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

About

A fast-moving, rule-based rotation that switches into UVXY on short-term momentum spikes or rotates into leveraged tech/semiconductor bets, with an extra KMLM-driven long/short rotator as an alternate path. Uses 10-day RSI > 79 signals across multiple tickers and aims for a single, full-position entry rather than periodic rebalancing.
NutHow it works
- It continuously screens several ETFs using a 10-day RSI (momentum gauge). - If RSI(10) of a key Nasdaq/QQQ-like proxy (QQQE) exceeds 79, it buys UVXY with full capital (100%). - If that first path doesn’t fire, it checks other proxies (VTV, VOX, etc.) in a cascading set of conditions; if any hit, it still routes toward UVXY or other signals as defined, but the structure shows a heavy emphasis on UVXY as a primary hedge/volatility play when momentum is extreme. - If no UVXY signal is triggered, it pivots into ultra-levered equity bets (TECL, TQQQ, SOXL, SPXL, etc.) on similar momentum checks. - There is an integrated “KMLM switcher” path that uses KMLM (and related assets like UUP, FTLS, SSO) for a long/short rotator approach, effectively offering an alternate route to tilt exposure between long/short positions. - The system targets single-shot entries (single pops) and does not rebalance on a fixed schedule; they rely on the occurrence of a signal to switch into the chosen instrument. - The result is a fast-changing exposure profile, alternating between volatility hedges and high-momentum leveraged bets, with KMLM-based rotation acting as an additional switcher gate.
CheckmarkValue prop
Out-of-sample edge: Sharpe ~1.45 vs SPY ~1.27; annualized return ~104% vs ~26%; Calmar ~4 vs ~2. Higher upside via UVXY hedges and fast momentum rotations; superior risk-adjusted return despite larger drawdowns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
AlphaBetaR2R
0.641.60.240.49
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
18.5%17.96%-1.77%0.2%0.97
114.58%110.19%2.61%3.68%1.51
Initial Investment
$10,000.00
Final Value
$21,457.64
Regulatory Fees
$46.62
Total Slippage
$279.53
Invest in this strategy
OOS Start Date
Jul 18, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Rotational etf strategy; rsi-based momentum; uvxy volatility hedge; leveraged tech/semiconductor bets; kmlm managed futures filter; fast-switching allocation
Tickers in this symphonyThis symphony trades 20 assets in total
Ticker
Type
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
FNGU
MicroSectors FANG+ 3x Leveraged ETNs due February 17, 2045
Stocks
FTLS
First Trust Long/Short Equity ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
QQQE
Direxion Shares ETF Trust Direxion NASDAQ-100 Equal Weighted Index 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
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TQQQ
ProShares UltraPro QQQ
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 toUUP. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 111.18%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 26.02%. 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.