A simple 2-asset, rule-based tilt: if KMLM’s 20-day max drawdown > 5%, allocate 100% to SVXY; else allocate 100% to BIL. No regular rebalancing; the choice is driven by a single drawdown signal on KMLM.

What it does for a layperson: The strategy watches how much KMLM has fallen in the last 20 trading days (its biggest drop from a peak to a low). If that drop is bigger than 5%, the plan is to put all money into SVXY, which aims to benefit when market fear decreases (a volatility-related bet). If the drop is 5% or less, the plan is to put all money into BIL, which is a very safe, short-term government-bond fund (near-cash). There’s no automatic rebalancing back and forth every week; the model makes a single yes/no decision and you hold the chosen asset until you re-check the signal (not specified here). The 0.1 corridor width is a configuration detail that would matter if there were ongoing rebalancing; with “rebalance: none,” it doesn’t actively affect the current rule. Key assets explained: - SVXY: a bet that short-term volatility will not rise (inverse exposure to VIX futures). It can be risky and behave unusually during market stress. - BIL: very short-term Treasuries; considered safe but with minimal upside. In short: if KMLM looks stressed in the last 20 days, go to SVXY; otherwise park in BIL.

Compelling risk-adjusted edge vs the S&P: out-of-sample Sharpe ≈1.30 vs 1.06, Calmar ≈2.21, max drawdown 4.4% vs 18.8%, and near-zero beta. You gain downside protection with steadier upside potential.