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Symphonies
Volatility and Kelly Symphony
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A 50/50 blend of a volatility-based throttle and a long-term trend rule: dial up S&P 500 (even with 2x/3x funds) when calm or trending up; shift toward Treasuries/T‑bills when choppy or trending down. Uses SPY, SHY, BIL, SSO, and UPRO.
NutHow it works
It splits your money 50/50 into two parts. 1) A “volatility throttle”: checks how bumpy the last month of S&P 500 (SPY) has been. Very calm → uses leveraged S&P funds (SSO/UPRO). As bumps rise, it steps down to SPY, then adds short‑term Treasuries (SHY). 2) A trend rule: if SPY is above its 200‑day average, it holds 3x S&P 500 (UPRO); otherwise it sits in T‑bills (BIL). Rebalanced daily.
CheckmarkValue prop
Out-of-sample annualized return ≈19.65% vs SPY ≈17.55%, with a volatility-aware throttle and trend sleeve that expands gains in calm markets and shifts to Treasuries in choppier times. Calmar ≈0.70 over ~613 days of testing for compelling risk-adjusted upside.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.041.450.650.81
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
1,022.61%15.09%-0.5%2.26%0.91
Volatility and Kelly Symphony
4,327.73%24.65%-2.38%3.61%0.87
Initial Investment
$10,000.00
Final Value
$442,773.29
Regulatory Fees
$390.62
Total Slippage
$2,170.67
Invest in this strategy
OOS Start Date
Jan 15, 2025
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, volatility targeting, trend following, leveraged etfs, s&p 500, risk-on/risk-off
Tickers in this symphonyThis symphony trades 5 assets in total
Ticker
Type
BIL
State Street SPDR Bloomberg 1-3 Month T-Bill ETF
Stocks
SHY
iShares 1-3 Year Treasury Bond ETF
Stocks
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
SSO
ProShares Ultra S&P500
Stocks
UPRO
ProShares UltraPro S&P 500
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.

"Volatility and Kelly Symphony" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Volatility and Kelly Symphony" is currently allocated toSSOandUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Volatility and Kelly Symphony" has returned 19.65%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Volatility and Kelly Symphony" is 27.96%. 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 "Volatility and Kelly 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.
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