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Symphonies
Yield Curve Stuff Algo
Today’s Change
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A symphony is an automated trading strategy — Learn more about symphonies here

About

A macro, yield‑curve‑driven rotation that blends long Treasuries and gold with selective equities or hedges. Uses SPY vs utilities/low‑vol and a junk‑bond momentum gauge as risk switches, plus a tactical short‑oil sleeve. Rebalanced daily.
NutHow it works
It reads the yield curve from SHY (short‑term Treasuries) and TLT (long‑term). Steepening → more TLT, GLD (gold), TIP; flattening → selective growth stocks (e.g., SMH, QQQ) or hedges. It checks risk appetite by seeing if SPY lags XLU or SPLV over ~75 days; if defensives lead, it goes safer/hedged. A junk‑bond RSI (a simple “overbought/oversold” gauge) fine‑tunes stock exposure. It also shorts oil tactically (via SCO) after small drops, and steps aside after big drops. Rebalanced daily.
CheckmarkValue prop
Out-of-sample Sharpe 1.44 vs SPY 1.19; max drawdown 7.3% vs 18.8%; Calmar 2.24; 16.4% annualized return. A macro-rotation strategy that trims downside while preserving upside, delivering superior risk-adjusted SPY performance.
1M
3M
6M
YTD
1Y
3Y
Max
www.composer.trade
Performance
Compared to selected benchmarks
AlphaBetaR2R
SPY
0.270.230.10.31
Performance Metrics
Cumulative ReturnAnnualized ReturnTrailing 1M ReturnTrailing 3M ReturnSharpe Ratio
SPY
472.62%14.19%1.27%4.17%0.87
Yield Curve Stuff Algo
4,655.94%34.13%1.15%0.6%2.45
Initial Investment
$10,000.00
Final Value
$475,593.52
Regulatory Fees
$1,546.34
Total Slippage
$12,146.99
Invest in this strategy
OOS Start Date
Aug 13, 2024
Trading Setting
Daily
Type
Stocks
Category
Macro regime rotation, yield curve, multi-asset, tactical rotation, risk-on/off, long/short etfs, commodities, currencies
Tickers in this symphonyThis symphony trades 39 assets in total
Ticker
Type
DBC
Invesco DB Commodity Index Tracking Fund
Stocks
EEM
iShares MSCI Emerging Markets ETF
Stocks
EEV
ProShares Trust UltraShort MSCI Emerging Markets
Stocks
EUO
ProShares UltraShort Euro
Stocks
GDX
VanEck Gold Miners ETF
Stocks
GLD
SPDR Gold Trust, SPDR Gold Shares
Stocks
IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
Stocks
IGV
iShares Expanded Tech-Software Sector ETF
Stocks
IHI
iShares U.S. Medical Devices ETF
Stocks
ITB
iShares U.S. Home Construction ETF
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.

"Yield Curve Stuff Algo" is currently performing the same as yesterday today. Performance updates in real time during market hours.

"Yield Curve Stuff Algo" is currently allocated toIAI, YCS, QUAL, KIE, TBTandUNL. Holdings automatically adjust as market conditions change based on the strategy's rules.

Year-to-date, "Yield Curve Stuff Algo" has returned 16.38%. You can adjust the performance chart above to view returns across different time horizons.

The maximum drawdown for "Yield Curve Stuff Algo" is 7.32%. 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 "Yield Curve Stuff Algo", 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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