A simple two-step rule: if BDRY’s 60-day momentum is strong (RSI > 50), then pick between SPY (if SPY is in an uptrend, i.e., SPY above its 20-day MA) or BIL (if SPY is not in an uptrend). The system uses 100% allocation to the chosen instrument and does not rebalance on a fixed schedule; it relies on momentum in BDRY to gate a trend-based choice between SPY and BIL.

- Step 1: Evaluate BDRY’s momentum using its 60-day RSI. If BDRY RSI > 50, you’re in the active signal path. If not, the shown path doesn’t specify a SPY/BIL allocation (the outer cash-weighting implies waiting or cash). - Step 2: If BDRY RSI > 50, check SPY’s trend: is SPY trading above its 20-day moving average? This means SPY’s price is currently higher than its average price over the last ~4 weeks, indicating a short-term uptrend. - Step 3: Allocation decision (within the active path): • If SPY > SPY’s 20-day MA, allocate 100% to SPY (full position in SPY). • If SPY <= SPY’s 20-day MA, allocate 100% to BIL (short-term Treasuries). - Step 4: Rebalancing is not triggered on a fixed schedule; it reacts to the signals (rebalance is set to none, with a small permissible drift). In practice, you end up holding a single asset at a time rather than a mix. - Step 5: The assets involved are SPY (broad US equities), BIL (short-term US Treasuries), and BDRY (a momentum-gating instrument with exposure to dry bulk shipping/equities). The final choice depends on the two-step rule above and results in a pure, one-asset position at each decision point.

Out-of-sample, this strategy outperforms SPY on risk-adjusted terms: Sharpe 1.39 vs 1.04, drawdown 8.6% vs 18.8%, Calmar 1.87. Strong downside protection with a simple two-step signal and single-asset position.