Skip to Content
Symphonies
Spy vs SPY l 29 October 2007
Today’s Change
—

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

About

Rules-based S&P 500 timing: flee to T‑bills when SPY is extremely hot or very volatile; buy when it’s extremely weak. In normal times, stay in SPY, but hedge to 50% T‑bills if cash trends better than bonds; otherwise remain fully in SPY.
NutHow it works
It times the S&P 500 (SPY) using short‑term heat/weakness and a safety switch. - If SPY is extremely hot (5‑day strength > 91), move to T‑bills (BIL). - If SPY is extremely weak (< 27), buy SPY. - If very volatile (> 2.5), move to BIL. - Otherwise own SPY, then: if bonds (BND) trend better than T‑bills over ~3 months, stay 100% SPY; else go 50% SPY/50% BIL.
CheckmarkValue prop
Out-of-sample, this strategy delivers superior risk-adjusted returns: Sharpe 1.58 vs 1.33, Calmar 1.43, max drawdown 12.6% vs 18.8%. Beta ~0.64. ~18% annualized return vs SPY ~21.7%— capital protection with upside capture.

Loading backtest data...

Invest in this strategy
OOS Start Date
Jul 9, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical asset allocation,s&p 500 timing,mean reversion,momentum,volatility filter,risk-on/risk-off,rules-based
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 vs SPY l 29 October 2007" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Spy vs SPY l 29 October 2007" is currently allocated toBILandSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Spy vs SPY l 29 October 2007" has returned 18.00%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Spy vs SPY l 29 October 2007" is 12.56%. 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 vs SPY l 29 October 2007", 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.