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Symphonies
Simple Regime Switching and Dip Buying with S&P 500
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Own SPY in uptrends. If SPY is below its 200‑day average but very oversold, buy the dip in SPY; otherwise rotate to defensive Consumer Staples (XLP). Daily checks; fully invested.
NutHow it works
Each day the strategy checks SPY (an S&P 500 fund). If SPY’s price is above its 200‑day average (the average price over ~10 months), it owns SPY. If below, it looks at RSI(10), a gauge of recent speed of moves; below 30 means very oversold. If RSI<30, it buys SPY (buy the dip). Otherwise it holds XLP, a defensive Consumer Staples fund (groceries, toothpaste). Always fully invested.
CheckmarkValue prop
Out-of-sample, this strategy beats the S&P 500 on risk-adjusted terms: Sharpe 1.42 vs 1.23, Calmar 1.63, higher return 21.78% vs 20.62%, and smaller drawdown 13.38% vs 18.76%. More upside, less risk.

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Invest in this strategy
OOS Start Date
Sep 19, 2022
Trading Setting
Daily
Type
Stocks
Category
Trend following, dip buying, regime switching, sector rotation, long-only, us equities, s&p 500, defensive tilt
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
XLP
State Street Consumer Staples Select Sector SPDR 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.

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

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

Year-to-date, the symphony has returned 19.60%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 13.38%. 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.