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Symphonies
v2.2 Double Pop Bots l BrianE l Oct 28th 2011 | okhi2u less BIL mod | VXX edition
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Rules-based swing strategy using RSI as a 0–100 “heat meter.” Buys leveraged stock ETFs on sharp dips, steps aside or hedges when too hot, and otherwise rotates between cash, broad stock ETFs, or a rebound trade based on stock/bond trends.
NutHow it works
RSI is a 0–100 “heat meter” of recent price moves. 1) Too hot (RSI>80) in leveraged stock ETFs: go half cash (BIL) + half volatility hedge (VXX). 2) Very cold (RSI<30): buy TQQQ/SPXL/SOXL (sometimes half with cash). 3) Else use trend: if SPY ok, hold QQQ+SPY or, when bonds lead, TQQQ+SPXL; if weak, stay in cash. Tickers: SPY=S&P 500; QQQ=Nasdaq 100; TQQQ/SPXL/SOXL=3x (SOXL=semis); BIL=T‑Bills; VXX=volatility; BND=bonds; IEF/TLT=US Treasuries.
CheckmarkValue prop
Out-of-sample Sharpe 1.44 vs SPY 1.04; Calmar 2.59; OOS return 69.8% vs 18.9%; alpha 0.31. A rules-based RSI system that captures rebounds with hedges and cash, delivering stronger risk-adjusted upside versus the S&P 500.

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Invest in this strategy
OOS Start Date
Aug 28, 2024
Trading Setting
Threshold 8%
Type
Stocks
Category
Tactical, rsi, momentum, mean-reversion, leveraged etfs, volatility hedge, market timing, us equities, tech tilt, semiconductors
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.

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

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

Year-to-date, the symphony has returned 69.84%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 26.96%. 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, crypto, and options.