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Symphonies
SPY 9d Max DD Test
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily switch between SPY (stocks) and TLT (long‑term U.S. Treasury bonds). If SPY had zero pullbacks over the last 9 days, move to TLT; otherwise stay in SPY. Seeks to step aside after unusually smooth rallies.
NutHow it works
SPY is the main U.S. stock market (S&P 500). TLT holds long‑term U.S. Treasury bonds. Each day, look at SPY’s last 9 trading days. If SPY never dipped from a recent high (max drawdown ≈ 0), hold 100% TLT the next day; otherwise hold 100% SPY. Rebalances daily. Idea: a perfectly smooth 9‑day rally may be due for a wobble; TLT can cushion stock pullbacks, though not always.
CheckmarkValue prop
All-or-nothing SPY/TLT timer: mostly SPY, shift to TLT after a flawless 9-day rally. OOS: Sharpe ~1.31, return ~21.66%, Calmar ~1.15, max DD ~18.76%. Adds bond ballast and diversification vs SPY.
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www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
010.991
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,128.71%11.35%1.36%5.73%0.66
SPY 9d Max DD Test
1,253.34%11.81%1.36%5.73%0.68
Initial Investment
$10,000.00
Final Value
$135,334.10
Regulatory Fees
$51.54
Total Slippage
$351.65
Invest in this strategy
OOS Start Date
Aug 18, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, risk-on/risk-off, spy vs tlt, drawdown trigger, daily rebalancing
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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.

"SPY 9d Max DD Test" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"SPY 9d Max DD Test" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "SPY 9d Max DD Test" has returned 21.66%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "SPY 9d Max DD Test" is 18.76%. 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 "SPY 9d Max DD Test", 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, crypto, and options.