A multi-asset, rule-based strategy that times volatility hedges and sector momentum, then tilts between leveraged long/short bets across SPY, QQQ, and semis based on RSI-derived signals and moving-average checks; uses explicit weights and a fixed rebalancing framework.

Big picture: the system runs a sequence of automated checks and, if certain conditions are met, buys or sells specific ETFs. It uses momentum-style indicators (RSI) to gauge when a market is stretched and then moves capital to the appropriate instrument. The logic is layered: - Overbought SPY condition: If SPY’s short-term momentum is very high (RSI above 75 on a 6-day lookback), the model shifts into volatility bets by selecting UVXY or VIXY. It picks the asset with relatively weaker momentum between the two (bottom selection by RSI across a 13-day window) and allocates most of the available risk budget to that choice (about 80%). - Semiconductors momentum check: If the SPY overbought condition is not met, the system looks at SOXX (semiconductors) momentum. If SOXX’s 10-day RSI is very high (above 76), it tilts to SOXS (bear/ inverse semiconductor exposure). If SOXX RSI is modestly low (below 57), it tilts to SOXL (levered semiconductor bull). There’s a nested structure that allows further adjustments depending on additional RSI checks, with a 100% allocation when this block fires. - Slunt (cross-asset tilt) module: This block uses price versus moving-average checks across SPY-related positions (like UPRO, SPXU) and QQQ-related positions (TQQQ, SQQQ) to tilt between bullish and bearish exposures, sometimes across multiple instruments, guided by current price, moving averages, and relationships between SPY and SPY proxies. It also uses explicit weights (often heavy on the chosen direction) and a 50–80% risk budget in different branches. - Cash and weighting: Each branch uses a “wt-cash-equal” mechanism to distribute cash evenly within that sub-strategy’s basket, and then a higher-level weight governs how much of the portfolio is allocated to that sub-strategy if it fires. - Risk controls: Rebalance is set to none in the sense of not forcing frequent rebalances; there is a corridor width parameter (0.069) that constrains how far positions can drift before actions are taken. In short: the strategy tries to time risk-on vs risk-off regimes using SPY momentum signals, then rules in semis momentum or volatility hedges, and finally uses cross-asset momentum to determine levered long vs inverse bets, all with explicit weights and a conservative rebalancing framework.

Out-of-sample, this rule-based, multi-asset strategy targets volatility hedges and sector momentum to deliver about 42.7% annualized return vs ~21.4% for the S&P, with solid risk controls (Calmar ~0.67) and explicit rules—though it can endure larger drawdowns in downturns.