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A symphony is an automated trading strategy — Learn more about symphonies here
About
A tactical, rules-driven strategy that shifts among high-growth tech, bond/volatility hedges, and cash. It buys dips in panics, hedges overheated rallies, and rides uptrends, using simple “hot/cold,” trend, and drawdown checks to limit big losses.
It’s a rule-based “weather vane.”
- If tech is red‑hot (RSI, a 0–100 “hot/cold” gauge, is very high), it briefly hedges with a volatility fund (UVXY).
- If tech just crashed (about −12% in 6 days), it runs a crash playbook: fade big snapbacks with UVXY; if deeply “cold,” buy the tech fund (TQQQ); otherwise pick the calmest option among bond/volatility funds—unless bonds are also breaking, then sit in T‑bills (BIL).
- In normal times: if damage is rising, go to BIL; if the trend is up (price above a 25‑day average), lean into high‑growth tech (TQQQ/TECL) and add a calm bond/vol pick and a QQQ/BTAL sleeve; if trend is down, mostly hold BIL unless bond‑vs‑stock signals say it’s safe to take a small tech shot.
Out-of-sample edge: 19.65% annualized return vs SPY's 19.10%, with regime-based hedging to capture tech rallies and protect against panics. Diversified risk, but expect larger drawdowns and a lower risk-adjusted profile vs SPY.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.76 | 0.74 | 0.08 | 0.27 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 620.2% | 14.76% | -0.15% | 0.4% | 0.91 | |
| 6,963,266.77% | 117.61% | 7.47% | 5.32% | 1.93 |
Initial Investment
$10,000.00
Final Value
$696,336,676.78Regulatory Fees
$2,214,172.08
Total Slippage
$15,895,697.08
Invest in this strategy
OOS Start Date
May 17, 2024
Trading Setting
Threshold 5%
Type
Stocks
Category
Tactical allocation, regime switching, trend following, mean reversion, volatility hedging, crash protection, leveraged etfs
Tickers in this symphonyThis symphony trades 14 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
BND
Vanguard Total Bond Market
Stocks
BTAL
AGF U.S. Market Neutral Anti-Beta Fund
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
TECL
Direxion Daily Technology Bull 3x Shares
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
Stocks
TMF
Direxion Daily 20+ Year Treasury Bull 3X Shares (based on the NYSE 20 Year Plus Treasury Bond Index; symbol AXTWEN)
Stocks