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Symphonies
Spy vs SPY l 29 October 2007
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Switches between SPY and T‑bills. Steps aside when SPY is too hot or too jumpy; otherwise holds SPY, with a bond‑vs‑cash check to choose between full SPY or a 50/50 SPY/T‑bills split.
NutHow it works
What it trades: SPY (S&P 500 stocks) and BIL (3‑month T‑bills). It uses BND (broad US bonds) only as a signal. RSI = a 0–100 “speed” gauge of recent price moves. Volatility = how jumpy returns are. If SPY’s 5‑day RSI >91 or 5‑day volatility >2.5%, hold BIL (safety). If 5‑day RSI <27, hold SPY. Otherwise hold 50% SPY and 50% either SPY or BIL: if BND’s 63‑day RSI beats BIL’s, go 100% SPY; else 50% SPY/50% BIL.
CheckmarkValue prop
Out-of-sample edge: better risk-adjusted performance vs the S&P 500 with lower downside risk. Sharpe 1.60 vs 1.33; max drawdown 12.6% vs 18.8%; Calmar 1.43—delivering upside while protecting in volatility.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.080.640.730.85
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
568.74%10.82%0.54%-0.34%0.62
Spy vs SPY l 29 October 2007
1,332.87%15.49%1.34%2.09%1.04
Initial Investment
$10,000.00
Final Value
$143,287.45
Regulatory Fees
$428.88
Total Slippage
$2,904.55
Invest in this strategy
OOS Start Date
Jul 9, 2023
Trading Setting
Threshold 1%
Type
Stocks
Category
Tactical allocation, momentum & mean-reversion, volatility filter, risk-on/risk-off, us equities, t-bills
Tickers in this symphonyThis symphony trades 3 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
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 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 17.18%. 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, and options.