SMH vs FTLS RSI compare w/ Pre Runner WM 74
Today’s Change (Mar 18, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily, rules-based, multi-asset rotation using short-term RSI momentum signals to select a 3-asset, equal-weight portfolio from a broad pool (including UVXY and leveraged equity ETFs, semis/tech, bonds, and KMLM). It blends volatility hedging, leveraged equity exposure, and managed futures via a data-driven rotator.
- Every day, it rebalances a small, rule-based basket across a wide set of assets; - It uses a short-term momentum test (RSI over 10 days) on various proxies to decide whether to tilt toward volatility hedges (UVXY) or to include other assets; - A higher-level SMH vs FTLS momentum comparison guides the environment the rotation operates in; - A deep Long/Short Rotator then picks 3 assets from a larger pool (including UVXY, QQQ, TQQQ, SPXL, SOXL, TECL, KMLM, etc.) using a cumulative-return-based ranking over a trailing window; - The chosen assets are weighted equally (100/100) and cash is used to balance when signals are not favorable; - The end result is a small, equal-weight portfolio of 3 assets designed to capture momentum while incorporating volatility hedges and managed futures for diversification.
Out-of-sample annualized return 21.22% vs SPY 17.07%, plus positive alpha and diversification from volatility hedges and managed futures. Strong growth potential via disciplined momentum rotation, but expect larger drawdowns (~31%).
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.9 | 0.61 | 0.05 | 0.22 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 96.79% | 13.78% | -1.77% | 0.2% | 0.85 | |
| 10,211.47% | 142.14% | -3.59% | 18.88% | 2.13 |
Initial Investment
$10,000.00
Final Value
$1,031,147.02Regulatory Fees
$3,692.23
Total Slippage
$23,329.81
Invest in this strategy
OOS Start Date
Jan 29, 2025
Trading Setting
Daily
Type
Stocks
Category
Quantitative, multi-asset, momentum, rsi-based, leveraged etfs, volatility hedging, managed futures
Tickers in this symphonyThis symphony trades 26 assets in total
Ticker
Type
BSV
Vanguard Short-Term Bond ETF
Stocks
FAS
Direxion Daily Financial Bull 3x ETF
Stocks
FTLS
First Trust Long/Short Equity ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
QQQ
Invesco QQQ Trust, Series 1
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