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

About

Daily volatility-based switch: calm markets use leveraged stock funds (50/50 UPRO, TQQQ); as volatility rises it steps down to SPY, then adds SHY, and in severe volatility splits SPY/SHY. Signal comes from SPY’s last-month volatility.
NutHow it works
Each day it checks how “bumpy” SPY has been over ~1 month (21 trading days). If very calm (≤1% daily swings): 50% UPRO + 50% TQQQ (3x stock funds). If a bit bumpier (>1%): 100% SPY (S&P 500). If rough (>2%): 75% SPY, 25% SHY (short‑term Treasuries). If very rough (>3%): 50% SPY, 50% SHY. Rebalances daily.
CheckmarkValue prop
Out-of-sample annualized return ~48% vs SPY ~21%; Sharpe ~1.18; Calmar ~1.12. A volatility regime strategy: calm markets use 3x leverage (UPRO/TQQQ); rising volatility shifts to SPY/SHY for risk control. Higher upside with managed risk vs S&P 500.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.11.620.640.8
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
741.19%14.44%1.36%5.73%0.87
Volatility and Kelly Symphony - Replace SSO w/TQQQ -
8,508.91%32.6%1.35%17.73%0.98
Initial Investment
$10,000.00
Final Value
$860,890.98
Regulatory Fees
$688.41
Total Slippage
$3,730.20
Invest in this strategy
OOS Start Date
Feb 14, 2023
Trading Setting
Daily
Type
Stocks
Category
Volatility targeting,tactical allocation,leveraged etfs,s&p 500,nasdaq 100,u.s. treasuries,risk-on/risk-off,daily rebalance
Tickers in this symphonyThis symphony trades 0 assets in total
Ticker
Type

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 toTQQQandUPRO. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, the symphony has returned 48.10%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for the symphony is 42.87%. 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, crypto, and options.