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Symphonies
VIX Mid-Term Futures: SPY RSI predicts VIX (3 tickers)
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

Daily, it reads how stretched SPY is. Very weak SPY: usually short volatility (ZVOL/SVXY) unless panic is extreme, then sit in PULS. Very strong SPY: go long mid-term VIX via VXZ. Otherwise, hold PULS. Goal: capture volatility swings with a risk brake.
NutHow it works
Aims to profit from swings in market volatility (VIX). Each day it checks the S&P 500 (SPY) over 2–10 days with RSI, a 0–100 gauge of recent moves (low=fallen hard, high=run up). If SPY is very weak, it usually shorts volatility via an inverse VIX fund (ZVOL; use SVXY if needed) unless a panic filter says vol is already extreme (then it holds a cash-like fund, PULS). If SPY is very strong, it buys a mid-term VIX fund (VXZ). Otherwise it stays in PULS.
CheckmarkValue prop
Out-of-sample edge: ~28.3% annualized return with ~5.7% max drawdown; Sharpe ~2.36, Calmar ~4.96. This strategy profits from SPY volatility swings, delivering higher risk-adjusted returns and far smaller drawdowns than the S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.280.080.010.11
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
87.86%22.12%1.36%13.5%1.4
VIX Mid-Term Futures: SPY RSI predicts VIX (3 tickers)
148.67%33.48%0.05%-0.53%2.61
Initial Investment
$10,000.00
Final Value
$24,866.51
Regulatory Fees
$116.66
Total Slippage
$734.64
Invest in this strategy
OOS Start Date
Nov 27, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility/vix, rsi-based tactical, daily rebalance, derivatives etps, risk-managed, short-term signals
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
PULS
PGIM Ultra Short Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
UVXY
ProShares Ultra VIX Short-Term Futures ETF
Stocks
VXZ
iPath Series B S&P 500 VIX Mid-Term Futures ETN
Stocks
ZVOL
Volatility Premium Plus 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 toPULS. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 28.30%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 5.70%. 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.