A simple binary rule: measure SPY’s 2-day volatility; if it exceeds 6.5, switch to UVXY (volatility exposure); otherwise park in BIL (short-term Treasuries, cash). No periodic rebalancing; used to try to catch sudden market shocks while otherwise keeping cash on hand.

Here’s how it works in simple terms: - Step 1: Look at SPY (the big US stock market tracker) and calculate how much its price changed, on average, over the past two trading days. This is called the 2-day standard deviation of SPY’s returns. Think of it as a quick read on “how jumpy SPY has been lately.” - Step 2: Compare that number to 6.5. If the read is higher than 6.5, you interpret it as a spike in volatility (a rough sign of stress or a potential market shock). - Step 3: If volatility is above 6.5, put your money into UVXY, a fund designed to go up when market volatility spikes (i.e., a bet on bigger market moves hurting stocks). If volatility is not above 6.5, put your money into BIL, which is a short-term Treasuries fund that behaves like cash (very low risk and very liquid). - Step 4: Do not follow a regular rebalancing schedule. The system uses the single condition to switch assets; it doesn’t automatically rebalance on a timer. If the condition flips, you switch assets at the next evaluation. - Step 5: The ‘wt-cash-equal’ label suggests if there were multiple cash options you’d weight them evenly, but with only BIL involved here, the cash allocation is effectively 100% to BIL when the rule says cash is preferred. - Important note: This is a short-horizon, binary rule. UVXY can produce large swings and tends to underperform in calm markets over long periods due to how its daily leverage works. The strategy aims to catch sharp volatility spikes, not to build long-term equity growth.

Out-of-sample: 22.97% annual return vs SPY’s 18.28%, max drawdown 3.23% vs 18.76%. Superior downside protection and stronger risk‑adjusted upside, especially when volatility spikes.