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Symphonies
Volatility and Kelly Symphony - Replace SHY w/ TLT & SSO w/ TECL
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A daily, volatility-based switch: in calm markets it uses 3x equity ETFs (TECL, UPRO); in normal markets it holds SPY; as volatility rises it blends in long Treasuries (TLT) up to a 50/50 mix to dial risk down.
NutHow it works
Each day it checks how “choppy” the S&P 500 (SPY) was over ~1 month. Bigger swings → add more long Treasuries (TLT); calmer → add more stocks, even 3x funds. - Very high chop: 50% SPY / 50% TLT - High: 75% SPY / 25% TLT - Moderate: 100% SPY - Calm: 50% TECL (3x tech) / 50% UPRO (3x S&P) Rebalances daily. Leveraged ETFs can magnify losses.
CheckmarkValue prop
Out-of-sample edge: ~44% annualized return vs SPY ~21%, with solid risk (OOS Sharpe ~1.06; Calmar ~0.98). It hedges with Treasuries in turbulence and uses leverage only in calm markets for higher long-run growth.

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Invest in this strategy
OOS Start Date
Feb 14, 2023
Trading Setting
Daily
Type
Stocks
Category
Volatility targeting, regime switching, leveraged equities, long treasuries, tactical allocation, daily rebalance
Tickers in this symphonyThis symphony trades 4 assets in total
Ticker
Type
SPY
State Street SPDR S&P 500 ETF Trust
Stocks
TECL
Direxion Daily Technology Bull 3x ETF
Stocks
TLT
iShares 20+ Year Treasury Bond ETF
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.

The symphony is currently performing the same as yesterday today. Performance updates in real time during market hours.

The symphony is currently allocated toTECLandUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 33.80%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 45.21%. 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.