Volatility and Kelly Symphony - Replace SHY w/ TLT, SSO w/TECL, & UPRO w/ CURE + Fund Surfing - Replace TQQQ w/ TECL
Today’s Change (Oct 22, 2026)
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A symphony is an automated trading strategy — Learn more about symphonies here
About
A daily strategy that gets aggressive when the market is calm, turns defensive when it gets turbulent, and uses both leveraged stock funds and Treasury bonds.
How it worksThis strategy checks how jumpy the U.S. stock market has been over the last month, using SPY (a fund that tracks the S&P 500).
If markets are calm, it leans into aggressive funds tied to technology and healthcare. If markets get shakier, it shifts toward the broad stock market, then mixes in Treasury bonds, and in very rough periods it can move fully into long-term Treasury bonds.
A second part of the strategy also buys whichever of three choices has been the weakest lately—S&P 500, tech, or short-term Treasuries—but only when volatility is low enough. Otherwise it hides in short-term Treasuries.
Value propDynamic, volatility-based mix targeting higher upside than the S&P (out-of-sample ~31% vs 21%), with bonds taking over in turbulence to reduce risk—though sharp pullbacks can bring larger drawdowns.
1M
3M
6M
YTD
1Y
3Y
Max
Performance
Compared to selected benchmarks
| Alpha | Beta | R2 | R | |
|---|---|---|---|---|
| 0.17 | 1.37 | 0.56 | 0.75 |
Performance Metrics
| Cumulative Return | Annualized Return | Trailing 1M Return | Trailing 3M Return | Sharpe Ratio | |
|---|---|---|---|---|---|
| 698.4% | 14.52% | -0.05% | 3.57% | 0.88 | |
| 14,148.79% | 38.22% | -0.13% | 12.08% | 1.19 |
Initial Investment
$10,000.00
Final Value
$1,424,879.13Regulatory Fees
$2,389.94
Total Slippage
$18,598.05
Invest in this strategy
OOS Start Date
Feb 25, 2023
Trading Setting
Daily
Type
Stocks
Category
Tactical asset allocation, volatility-based, contrarian, leveraged etfs, sector rotation, risk management
Tickers in this symphonyThis symphony trades 6 assets in total