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Symphonies
The Holy Grail with 20D KMLM
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A tactical, rules-based strategy that uses a tech trend gauge, short-term “heat” (RSI), and a managed‑futures barometer (KMLM) to switch among leveraged stock funds, short funds, bonds, or volatility. High risk; very swingy.
NutHow it works
It’s a rules-driven “risk-on/risk-off” switch. • First, it checks trend using TQQQ (a 3× Nasdaq‑100 fund). Above its 200‑day average = uptrend; below = downtrend. • RSI(10) is a 0–100 ‘speedometer’ of recent moves (>79 very hot, <31 very cold). Uptrend: invest ~80%. If very hot, briefly hedge with UVXY. Otherwise, use KMLM (a managed‑futures fund that often does better when stocks struggle) as a risk gauge—KMLM weak → go risk‑on (TQQQ); KMLM strong → go defensive (PSQ). Downtrend: first try oversold bounces (TECL/SOXL). If no bounce, rotate among SQQQ (short tech), BSV (short‑term bonds), UPRO (broad stocks), or KMLM using short‑term trend and RSI. Uses leveraged ETFs; expect big swings.
CheckmarkValue prop
Out-of-sample, this strategy offers higher risk-adjusted returns vs the S&P 500: Sharpe ~1.12 vs 0.99, Calmar ~2.09, and ~59% return vs ~17%, aided by dynamic risk-on/risk-off rules and managed-futures hedges. Note: higher drawdowns.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
1.30.260.010.08
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
97.31%14.09%-0.15%0.4%0.86
The Holy Grail with 20D KMLM
46,393.92%229.2%5%13.89%2.47
Initial Investment
$10,000.00
Final Value
$4,649,392.18
Regulatory Fees
$10,366.80
Total Slippage
$68,179.67
Invest in this strategy
OOS Start Date
Sep 23, 2024
Trading Setting
Threshold 10%
Type
Stocks
Category
Trend-following, mean-reversion, tactical allocation, leveraged etfs, volatility hedge, managed futures, tech-heavy, risk-on/risk-off
Tickers in this symphonyThis symphony trades 9 assets in total
Ticker
Type
BSV
Vanguard Short-Term Bond ETF
Stocks
KMLM
KraneShares Mount Lucas Managed Futures Index Strategy ETF
Stocks
PSQ
ProShares Short QQQ
Stocks
SOXL
Direxion Daily Semiconductor Bull 3X Shares
Stocks
SQQQ
ProShares UltraPro Short QQQ
Stocks
TECL
Direxion Daily Technology Bull 3x Shares
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
UPRO
ProShares UltraPro S&P 500
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.

"The Holy Grail with 20D KMLM" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"The Holy Grail with 20D KMLM" is currently allocated toPSQ. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "The Holy Grail with 20D KMLM" has returned 66.97%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "The Holy Grail with 20D KMLM" is 28.13%. 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 Holy Grail with 20D KMLM", 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.