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Symphonies
TESTPORT #259: KMLM/XLK RSI Tech QQQ Switcher IV 1.0
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, RSI-informed tech rotation: trend-check on QQQ, then XLK vs KMLM momentum decides Bull vs Bear tech bets using paired levered ETFs, with cash as a fallback.
NutHow it works
- Start with full cash allocation. - Check if QQQ is above its 200-day moving average. If not, stay in cash via BIL. - If QQQ is above the 200-day MA, compare RSI(XLK) to RSI(KMLM): - If RSI(XLK) > RSI(KMLM): go Bull Tech. Pick 2 of TQQQ, SOXL, TECL with the lowest RSI (14-day lookback) and short 5-day window, and allocate equally between the two. - If RSI(XLK) <= RSI(KMLM): go Bear Tech. Pick 2 of SQQQ, SOXS, TECS with the lowest RSI (14-day lookback) and allocate equally between the two. - Rebalance daily to maintain equal weights between the two selected assets in the active tilt. - If cash remains, allocate to BIL (short-term Treasuries) as the sole holding.
CheckmarkValue prop
Tech-timing sleeve with cash protection for diversification. Out-of-sample: -8.0% annualized, max DD 47.6%, Sharpe 0.19 vs SPY: +17.96% annualized, max DD 18.8%. A tactical allocation, not core equity, with risk controls.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.84-0.060-0.02
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
94.96%13.63%-1.77%0.2%0.84
TESTPORT #259: KMLM/XLK RSI Tech QQQ Switcher IV 1.0
2,851.28%91.11%7.88%-24.72%1.37
Initial Investment
$10,000.00
Final Value
$295,128.42
Regulatory Fees
$933.80
Total Slippage
$5,891.21
Invest in this strategy
OOS Start Date
Aug 26, 2024
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, momentum rotation, leveraged etfs, tech sector
Tickers in this symphonyThis symphony trades 10 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X ETF
Stocks
SOXS
Direxion Daily Semiconductor Bear 3X ETF
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TECS
Direxion Daily Technology Bear 3x ETF
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
XLK
State Street Technology Select Sector SPDR 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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toSOXSandTECS. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 4.61%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 49.86%. 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 the symphony, 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.