A blended, multi-layer regime-switching strategy that alternates between leveraged equity bets in up markets and hedged, volatility-protected allocations in bear markets, using price vs. SPY, RSI momentum signals, and a large ETF universe. Back-tested since 2011.

The strategy runs two main modes that it blends together. In the first mode (Simple Regime Switching), it looks for favorable market conditions and then selects a single asset to own based on price and momentum checks. In the second mode (Hedged Regime Switching), it adds protective positions and “risk-off” holdings so the portfolio can weather sharp downturns. The decisions use signals like: - Is a chosen asset above its long-term trend (roughly a comparison to the market’s 200-day average)? If yes, the system tilts toward more aggressive, leveraged bets on tech/broad-market ETFs (for example, QLD which is a 2x levered tech/Nasdaq play, QQQ, SPY, SSO, or even TQQQ in some branches). - Is short-term momentum favorable or oversold? Indicators like RSI (a measure of recent price momentum) on short windows help decide when to switch into or out of leveraged bets or to add hedges. - Are volatility hedges warranted? When volatility or downside signals spike (through specific conditions using RSI and other filters), the strategy can add UVXY (a volatility ETF) or other hedges and shift some capital into cash-like or shorter-duration bond ETFs (BIL, SHY). - Are bear-market or opposite-position assets needed? The model uses inverse or short ETFs (PSQ, SDS, QID, SSO’s bear companions, etc.) to dampen losses or participate in declines. - Dip-buy logic: during modest pullbacks, the system may buy dip opportunities by selecting a small group of assets with strong recent signals (e.g., bottom-ranked RSI filters on a 20-day horizon) and allocate capital to the best candidate. The allocation often changes with the regime group (e.g., “Fund Surf” style groupings and “Bottom 1” filters) and can involve both single-asset and multi-asset groupings with varying weights. In practice, you’ll see a lot of ETFs named SPY, QQQ, QLD, SSO, QID, UVXY, PSQ, TQQQ, SHY, BIL, UUP, DBO, TMF, BSV, etc. The broad aim is to ride upside in favorable regimes with leverage while inserting hedges to limit losses in downturns. Important note: the logic is highly nested and cross-referenced (lots of if-then branches and weighting rules), so the exact behavior can be sensitive to the chosen thresholds and the specific market regime observed in the data. Overall, think of it as a sophisticated, rules-based chameleon portfolio that tries to switch between aggressive growth bets and defensive hedges depending on what the signals say about the current market regime.

Out-of-sample upside with risk control: annualized return 33.6% vs 23.2% for SPY, Sharpe 1.45 vs 1.37, Calmar 1.56. A dual-mode regime strategy leverages bullish regimes and hedges risk-off phases to seek higher, steadier growth than the S&P 500.