A rule-based, multi-timeframe RSI mean-reversion tilt between SMH, SOXL, and SOXS on semiconductors, with a momentum overlay and no fixed rebalancing cadence. Oversold signals favor longs; overbought signals favor bears; levered exposure adds amplification and risk.

- The strategy looks at SMH (semiconductors) and calculates RSI, a simple momentum gauge that compares recent gains to recent losses over specific days. A low RSI suggests the asset may be oversold and due for a bounce; a high RSI suggests the opposite. - It tests RSI across many timeframes (50, 45, 40, 35, 30, 25, 20, 15, 10, 5 days). For each window, if RSI < 36, the rule creates a tilt toward SMH and the 3x long semiconductors (SOXL). The exact SMH/SOXL weights vary by window, creating a ladder of exposure. Examples range from heavier SMH exposure (e.g., 90% SMH / 10% SOXL) to more balanced splits (e.g., 50% SMH / 50% SOXL) depending on the window used. - If RSI > 70 (overbought) on those windows, the strategy tilts toward the bear 3x ETF SOXS (and sometimes reduces SMH exposure) with weights that also vary by window (e.g., 60/40, 30/70, etc.). This aims to capture downside when semis are considered overbought. - A Momentum overlay adds an additional layer: if SMH momentum signals (based on price vs. a moving-average reference and relative strength) indicate stronger trend strength, the strategy adjusts weights toward the favored exposure. The overlay also uses a risk/selection filter involving SHY (a short-term Treasuries ETF) to help decide which assets stand out on a momentum basis. - The positions are built from a cash-equal base and the system uses a corridor width (0.08) for signal sensitivity, but there is no fixed periodic rebalancing; changes occur when the underlying signals change. The overall set of assets and signals focuses on SMH as the primary signal source, with SOXL and SOXS providing amplified long and short semiconductor exposure respectively. - In plain terms: when semis look cheap by RSI, you tilt to semis (and even more so if recent RSI is very weak); when semis look expensive by RSI, you tilt to the bet against semiconductors; and you also check momentum trends to fine-tune the tilt. This is a specialized, sector-focused strategy with leverage and a momentum overlay, not a broad-market buy-and-hold approach.

Out-of-sample edge: 45.35% annualized return vs 20.62% S&P, via RSI semis tilts (SMH/SOXL/SOXS) with momentum. Higher upside and sector alpha, but larger drawdowns (~44.5%); Calmar ~1.02; Sharpe slightly below SP.