A daily, RSI-driven sector-rotation strategy between XLK (tech) and XLU (utilities), with cash proxies and hedges, using SPY/QQQ signals and a 200-day trend check to decide whether to tilt toward risk-on tech or defensive assets and cash.

Every day the system starts with a cash-like baseline and tests a sequence of momentum rules using RSI (a momentum gauge) on several ETFs. It weighs XLK (tech) against XLU (utilities) based on their longer-term momentum (63-day RSI) and alsoconsults short-term momentum (10-day RSI) on things like QQQ and SPY. It also checks market context by comparing SPY’s price to its 200-day moving average (a trend filter) and by looking at SPY/QQQ/PSQ relationships to gauge risk appetite. If the signals favor tech momentum and supportive market context, the model tilts toward XLK; if signals favor defensives or risk-off (or if momentum is extreme in the other direction), it tilts toward XLU, cash proxies (BIL), or hedges like PSQ. The exact allocation is the result of many nested conditions; the final position is executed daily and can switch among XLK, XLU, SPY, QQQ, PSQ, and cash proxy with equalized cash where indicated. In short: it’s a rules-based, RSI-driven sector rotation that uses multiple checks to decide where to put capital each day, with a default bias toward cash or hedged positions when signals are weak or unfavorable.

Out-of-sample: ~12.8% annualized return, 14.7% max drawdown vs SPY’s 18.8%; beta ~0.48, Calmar ~0.87, Sharpe ~0.69 vs SPY ~0.97. Daily RSI-driven rotation with hedges aims for upside while reducing risk versus the S&P 500.