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Symphonies
SPY Overbought Test (Publication)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily binaryRotation: if SPY’s 10-day RSI exceeds 80, invest fully in UVXY (volatility); otherwise invest fully in SPY (broad market).
NutHow it works
In simple terms: every day, you look at SPY’s momentum using a 10-day RSI. If SPY looks extremely overbought (RSI > 80), you buy UVXY with 100% of your investable cash. If SPY isn’t that overbought, you buy SPY with 100% of your cash. You rebalance daily, so you switch between SPY and UVXY based on the signal. The goal is to be in SPY during normal conditions and flip to a volatility bet when SPY shows extreme momentum, hoping to profit from a spike in market volatility or protect against sharp pullbacks associated with overbought readings. UVXY is a volatility-focused ETF that tends to rise when market volatility increases; SPY is a broad-market ETF that tracks the S&P 500. The 100/100 weight means you don’t split between the two assets—you allocate fully to whichever one the rule selects each day.
CheckmarkValue prop
Out-of-sample, the SPY/UVXY binary rotation delivers higher risk-adjusted returns (Sharpe ~1.48 vs ~1.26; Calmar ~1.45) and ~27.2% annualized vs SPY's ~20.1%, with similar drawdowns. It exploits volatility spikes while staying resilient.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.140.960.60.77
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
669.43%15.2%-1.77%0.2%0.93
SPY Overbought Test (Publication)
4,346.7%30.11%-1.77%0.2%1.37
Initial Investment
$10,000.00
Final Value
$444,670.16
Regulatory Fees
$223.54
Total Slippage
$1,569.43
Invest in this strategy
OOS Start Date
Jul 24, 2023
Trading Setting
Daily
Type
Stocks
Category
Volatility, momentum, tactical rotation, binary-asset allocation
Tickers in this symphonyThis symphony trades 2 assets in total
Ticker
Type
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures 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.

"SPY Overbought Test (Publication)" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"SPY Overbought Test (Publication)" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "SPY Overbought Test (Publication)" has returned 23.88%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "SPY Overbought Test (Publication)" 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 Overbought Test (Publication)", 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.