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Symphonies
VIXn' 1.0.0 l Deez/BrianE l Nov 2nd 2011
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, volatility-first strategy: jump to UVXY when the market is overheated, buy TQQQ when oversold, or blend SVXY+TQQQ when vol is easing. Otherwise follow trend: QQQ mix in uptrends, defensives in downtrends. Very active and high risk.
NutHow it works
Daily rules: 1) If the market is “too hot” (RSI—a 0–100 heat score—very high on SPXL/TQQQ), buy UVXY (benefits from volatility spikes). 2) If TQQQ is “washed out” (RSI very low), buy TQQQ. 3) If volatility has been fading (SVXY up over 5 days), split between SVXY (short vol) and TQQQ by risk. 4) Else use a trend filter: in uptrends own QQQ/TQQQ/QLD + some SHY; in downtrends rotate to UUP, XLP, XLU, XLE, SHY. Add SVXY only when IEF beats BIL.
CheckmarkValue prop
Out-of-sample, this strategy shows higher risk-adjusted returns vs the S&P: Sharpe 1.71 vs 1.32, Calmar 2.54, alpha ~0.30, and ~76% annualized gains vs ~22%. Note: higher drawdown (~30%). Volatility timing and regime switching drive growth.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.671.380.270.52
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
652.03%15.01%6.16%5.09%0.92
VIXn' 1.0.0 l Deez/BrianE l Nov 2nd 2011
9,066,929.27%120.64%10.01%2.39%1.99
Initial Investment
$10,000.00
Final Value
$906,702,926.87
Regulatory Fees
$3,211,674.97
Total Slippage
$23,021,605.60
Invest in this strategy
OOS Start Date
Oct 31, 2022
Trading Setting
Daily
Type
Stocks
Category
Volatility timing, leveraged etfs, trend & mean reversion, regime switching, sector rotation, defensive hedging, daily rebalanced
Tickers in this symphonyThis symphony trades 14 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
IEF
iShares 7-10 Year Treasury Bond ETF
Stocks
QLD
ProShares Ultra QQQ
Stocks
QQQ
Invesco QQQ Trust, Series 1
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPXL
Direxion Daily S&P 500 Bull 3x ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SVXY
ProShares Short VIX Short-Term Futures ETF
Stocks
TQQQ
ProShares UltraPro QQQ
Stocks
UUP
Invesco DB US Dollar Index Bullish Fund
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 toUVXY. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 70.83%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 29.98%. 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.