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Symphonies
treasury switch
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily switch between SPY and Consumer Staples (XLP) based on Treasury moves: if long‑term bonds (TLT) have dropped more than short‑term (SHY) over ~2 weeks, go risk‑on to SPY; otherwise stay defensive in XLP.
NutHow it works
Each day it checks the recent biggest drop (~11 trading days) in long‑term US Treasuries (TLT, 20+yr) versus short‑term Treasuries (SHY, 1–3yr). If long‑term fell more, it buys SPY (broad US market). Otherwise it holds XLP (consumer staples). 100% in one pick; checked daily.
CheckmarkValue prop
Rule-based switch between SPY and XLP uses a 2-week Treasury signal. Out-of-sample returns ~24%/yr, Sharpe ~1.42, max draw ~19%. Nearly SPY-level gains with a transparent, disciplined daily decision rule and defined risk.

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Invest in this strategy
OOS Start Date
Oct 9, 2022
Trading Setting
Daily
Type
Stocks
Category
Tactical allocation, sector rotation, bond-signal, rules-based, daily rebalance, long-only us equities
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.

"treasury switch" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"treasury switch" is currently allocated toSPY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "treasury switch" has returned 24.29%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "treasury switch" is 18.76%. 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 "treasury switch", 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.