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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: uses SPY’s short-term RSI to time when to own VIX funds (ZVOL for quick spikes, VXZ for mid-term moves) or stay in PULS (cash-like). Skips entries when UVXY shows vol is overheated; blends 2–10 day signals daily.
NutHow it works
Goal: profit from moves in the VIX (the market’s “fear index”). Each day it reads SPY’s 2–10 day RSI (a 0–100 speedometer of recent gains/losses). - If RSI < 25 (market stressed): buy ZVOL (leveraged short‑term VIX) unless UVXY’s RSI > 70 (vol overheated); then hold PULS (cash‑like). - If RSI > 80 (market very calm/hot): buy VXZ (mid‑term VIX). - Else: hold PULS. Blends these signals (tilted to shortest lookbacks) and rebalances daily.
CheckmarkValue prop
Out-of-sample Sharpe 2.60 vs SPY 0.83; annualized return 28.68% vs 14.82%; max drawdown 5.70% vs 18.76%; Calmar ~5.03. Higher risk-adjusted gains with much smaller drawdowns by timing VIX against SPY.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.270.130.040.19
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
78.19%21.36%6.16%5.09%1.35
VIX Mid-Term Futures: SPY RSI predicts VIX (3 tickers)
136.89%33.51%0.98%7.25%2.89
Initial Investment
$10,000.00
Final Value
$23,688.93
Regulatory Fees
$102.45
Total Slippage
$543.11
Invest in this strategy
OOS Start Date
Nov 29, 2024
Trading Setting
Daily
Type
Stocks
Category
Volatility, vix futures etps, tactical, rsi, ensemble, daily rebalance, cash overlay
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 toVXZandPULS. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 28.37%. 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.