A daily, rule-based sorter that surveys a broad ETF universe and uses momentum/trend signals plus a max-drawdown ranking to pick a single best (or small set) exposure, with hedges. It includes a key path that uses KMLM as a macro benchmark to tilt toward or away from risk, and it weights allocations in a disciplined, “golden ratio” style.

- Universe: The strategy considers a wide set of ETFs across equities, bonds, commodities, and volatility hedges (for example SPY, QQQ, IWM, EEM, EDC, IEI, IEF, TLT, SHV, GLD/GLL, UVXY, VIXY, BTAL, TMF, TMF, SQQQ, UPRO, TQQQ, etc.). It also includes a futures/alternative tilt (KMLM) in one branch. - Signals: On a daily basis, it runs lots of tests to gauge momentum and trend: is the asset’s price rising relative to a moving average or its own recent price? Is its momentum stronger than a peer or benchmark? Is its drawdown acceptable? These checks are implemented with rule-like tests (for example, current price vs moving-average price, RSI-like momentum thresholds, and cross-asset comparisons such as IGIB vs EEM or IEI vs IWM). - Sorting and selection: After filtering, the strategy ranks potential candidates by a risk-adjusted metric (specifically a max-drawdown related measure) and selects the top performer. - Special path (The Holy Grail with 20D KMLM): A prominent branch uses KMLM (the Managed Futures ETF) as a macro baseline (20-day moving average) to decide whether to tilt toward aggressive equity-like exposure (e.g., leveraged tech ETFs) or to favor hedges/defensive positions. - Hedging and diversification: The setup includes hedges (UVXY, SQQQ, BTAL, etc.) and bond/defensive positions (TLT, SHV, GLD, GDX) to reduce downside in risk-off environments. - Weighting: Exposure is allocated using a “golden ratio” style scheme (weights like 100/100, 16/100, 6/100, etc.), meaning the system deliberately distributes capital across layers rather than simply maxing one asset. - Rebalance: Daily. The model reassesses, reselects, and reweights based on the latest signals, so the portfolio can flip among assets as conditions change.

Out-of-sample: ~29.5% annualized return vs ~28.5% for the S&P, with near-1 Calmar and built-in hedges across stocks, bonds, gold and volatility. Daily momentum sorting plus macro tilt targets stronger, more resilient, risk-adjusted growth.