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

About

Rules-based VIX strategy: read SPY’s short‑term “hot/cold.” Buy fast vol (ZVOL) on sharp selloffs unless VIX is overheated; buy mid‑term vol (VXZ) when stocks are very hot and calm; otherwise park in PULS. Uses 9 lookbacks, rebalanced daily.
NutHow it works
Goal: profit from swings in market volatility (the VIX). It reads a simple 0–100 “hot/cold” meter on the S&P 500 (SPY). If SPY is very cold (<25), buy a fast short‑term VIX fund (ZVOL) unless VIX is already red‑hot (UVXY high); then sit in a cash‑like bond fund (PULS). If SPY is very hot (>80), buy a calmer mid‑term VIX note (VXZ). Otherwise hold PULS. It splits money across 9 lookbacks (2–10 days), weighted to faster ones, and rebalances daily.
CheckmarkValue prop
Out-of-sample: annualized return ~34.5% vs SPY ~15.4%; Sharpe ~2.76 vs 0.86; drawdown ~5.7% vs 18.8%; Calmar ~6.05. A rules-based volatility strategy offering far higher risk-adjusted returns and stronger downside protection than the S&P 500.

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Invest in this strategy
OOS Start Date
Nov 27, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility, tactical etf rotation, vix futures etps, systematic, daily rebalanced
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 34.85%. 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.