A dense, rule-based momentum/rotation portfolio that dynamically selects and weights a mix of levered stock ETFs, hedges, bonds/cash, and sector plays based on a hierarchy of momentum signals. It aims for upside in strong regimes while using hedges and ballast to control risk, with no fixed calendar rebalancing.

The strategy uses a set of modular decision blocks that pick and weight a handful of ETFs based on momentum and trend signals. It looks for leaders among a universe that includes stock ETFs (like SPY, QQQ, and leveraged variants such as TQQQ and UPRO), hedges (UVXY, SVXY, SQQQ), bonds/cash proxies (TLT, IEF, AGG, BIL), sector funds (XLK, XLU, XLE, etc.), and a few currency or commodity plays. Here's the core idea in plain language: - Cash handling: The system often allocates cash evenly across selected assets (wt-cash-equal) or to a specified group. This keeps some portion of capital in cash as a buffer. - Frontline equity pick (Frontrunner): When momentum signals in the equity arena look favorable, the model deposits capital into a set of top ideas (e.g., QQQ-related or SPY-related levered instruments) while using risk checks (RSI, price vs moving averages, and recent performance) to decide which assets to actually hold. - Momentum and trend tests: The system uses indicators like RSI (a measure of how overbought or oversold an asset is) and moving-average comparisons to see if an asset is in a strong uptrend, a weak trend, or overextended. If signals point to strength, it tilts toward levered equity ideas (like TQQQ or TECL) and related momentum plays. If signals point to weakness or rising volatility, it moves to hedges or defensive assets (UVXY, SVXY, SQQQ, bonds, or cash). - Thematic buckets: The blocks labeled Holy Grail, WAM V3, Four Corners, and Ballast each implement a slightly different emphasis (e.g., pure momentum rotators, blended risk-balanced selections, and defensive ballast layers). They reference “top” or “bottom” selections by momentum or return across subsets of assets, and then assign weights when those selections fire. - Risk controls: Multiple layers test cross-asset momentum and trend, so the model doesn’t chase one asset alone. It uses groupings like “Bond Compares,” “Holy Grail Revamped,” and “Bull/Bear” to rotate between risk-on and risk-off ideas. The aim is to capture upside when markets are favorable, but to reduce exposure or switch into hedges when volatility or drawdown risk rises. - Rebalancing: The configuration notes rebalance = none and a corridor width, implying reallocation decisions are driven by the internal decision tree rather than a fixed calendar. In practice, the portfolio would be adjusted whenever the signals cause a branch of the decision tree to activate or deactivate certain assets, not on a set schedule. - What you own on a day-to-day basis: Depending on the signals, you might own a mix of levered stock ETFs (which magnify returns), some defensive hedges (to dampen losses), and small allocations to cash. The exact composition is quite intricate, but the guiding idea is “ride the leaders, hedge the risk.”

Out-of-sample: ~27% annualized return vs ~19% for the S&P, Calmar ~1.02, Sharpe ~0.90. Momentum-led tilts with hedges aim for bigger upside with controlled risk; max drawdown ~27% vs ~19%.