A highly aggressive, multi-layered strategy that rotates between volatility/futures ETFs (UVXY, UVIX, SVXY, SVIX), broad equity proxies, Treasuries, gold, and a managed-futures ETF (KMLM). Built as a web of RSI, moving-average, and cumulative-return signals across many windows, it selects a small set of assets to hold at any time and weights them aggressively. The intent is to catch big moves in volatility and trends, but the approach involves extreme risk, complexity, and potential for large drawdowns.

- The strategy is built as a multi-layered decision tree with many sub-strategies (Batshit variants, Rotator, Switchers) that fire in sequence based on price and momentum signals. - Core assets include leveraged volatility vehicles (UVXY, UVIX), inverse/short-volatility proxies (SVXY, SVIX), volatility/volatility-related ETFs (VIXM, BIL for short-term bills), and a broad set of equity/futures proxies (SPY, QQQ, TECL, SOXL, SPXL, SPYU, SPLV, XLF, XLK, UUP, GLD, IEF, TMF, TYD, TMV, TLT, BND, KMLM). - Rather than a single rule, the system uses a large pool of signals across windows (local moving-average price, 10- to 200-day lookbacks, and short-term RSI windows like 5–10 days) to decide when to tilt exposure toward or away from particular assets. - RSI and momentum-type rules are used to spot overbought/oversold extremes or relative strength across assets. Some examples in the tree trigger on UVXY/UVIX RSI thresholds (e.g., high RSI values suggest risk of a spike continuing, low RSI suggests potential pullbacks or reversals) and on other assets’ cumulative or moving-average conditions. - When a signal is met, the engine chooses a subset of assets and assigns weights (often full exposure to a few, zero to others) with “wt-cash-equal” or “wt-cash-specified” methods. In practice, you may see blocks that dedicate nearly all capital to one or two assets for a period, then rotate to different combos as conditions change. - A prominent component is the KMLM switcher, which toggles exposure toward the KMLM managed-futures ETF under certain momentum/volatility conditions, blending managed-futures with levered equity/volatility bets. - The strategy also contains ‘crash’/‘dead-cat bounce’ style logic and “insane VIX” frames that try to exploit dramatic volatility spikes (e.g., swapping into UVXY-like positions when volatility surges) and then rotate out as conditions normalize. - Risk characteristics: extreme leverage (2x, 3x in several vehicles), rapid turnover, and a heavy reliance on momentums/RSI readings across many instruments. While designed to capture big moves, backtests can overstate performance due to assumptions about liquidity, execution, and data quality. This is not a typical long-only or even standard long/short stock strategy; it is a volatility/futures-leaning, high-turnover, cross-asset rotation system. It presumes access to both options-like instruments and futures-like exposure (via ETFs) and tolerates large drawdowns in pursuit of outsized upside.

Out-of-sample, this strategy rotates across volatility/futures and multi-asset bets for bigger upside. OOS: 30.49% vs SPY 24.81%; Calmar 2.26 indicates strong risk-adjusted gains, though drawdowns are higher—suited for risk-tolerant investors seeking outsized moves.