Mar 16, 2023

Daily

etc. this indicates a blend of trend-following and momentum-rotation logic rather than a pure mean-reversion system. - the strategy uses a bottom/top selection mechanism within each signal window. the “select-fn” is often set to bottom or top, with “select-n” equal to 1 or sometimes 2, and “sort-by-fn” set to moving-average-return or cumulative return; the “sort-by-window-days” typically ranges from 4 to 7 days for the momentum lookback, allowing the system to pick the strongest (top) or weakest (bottom) performers within a candidate pool. - candidate pools are wide and include long-leverage and short-leverage variants across multiple themes. the architecture shows repeated structures like: - a “wt-cash-equal” node indicating a cash-constrained weighting floor for a sub-portfolio, then an inner selection block that chooses from etf assets with a weighting target, and a flag to “filter” based on the chosen sort criteria. - a heavy emphasis on rotation between risk-on (levered bull etfs) vs risk-off (inverse/leverage-down etfs and volatility hedges). there are explicit “overbought/sell the rip” and “extremely oversold” groupings with volatility hedges (uvxy, vixy) and optional long/short tilt depending on rsi readings against benchmarks like spy or tlh. - the strategy contains defensive overlays (e.g., “defense | modified,” “plaid inner baller,” and “ark baller (long/short)” blocks). these blocks appear to be designed to reduce exposure in adverse markets or to reallocate toward safer instruments (short-term treasuries like shy, longer treasuries like ief, and bond proxies like agg) when momentum signals deteriorate. the defensive blocks also include checks against volatility indices (vix/uvxy) and discretionary overlays for using correlation-based or standard-deviation-based risk measures. - risk management and hedging: the structure includes explicit volatility hedges (uvxy, vixy) and inverse or bear instruments (sqqq, sark, soxs, spxs, tmv, ty0-ish bear exposures) to reduce drawdown in downturns, and to capture upside in strong up-states. it employs standard deviation metrics, cumulative return checks, and trend qualifiers (e.g., exponential moving-average price tests) to avoid chasing false breakouts. - position sizing: the configuration shows weights in the form of a pair like {:num 100, :den 100} or {:num 90, :den 100}, indicating a full or near-full cash-equivalent allocation within a sub-portfolio, with occasional 0/100 splits in more dynamic blocks. the system seems designed to allocate to a single best candidate within a pool per signal, but with multiple overlapping pools rolling up into a composite allocation. - ticking complexity and backtesting flavor: the “step” tags, nested “if” blocks, and multiplicity of signals imply a strategy that relies on multiple conditional gates that can look very deep (nested if-else trees). it seems designed for backtesting (the names include “backtest” style notes like v2.0.2b, etc.), as well as live toggling. the sheer breadth of the asset universe and the nested decision trees suggest a high degree of overfitting risk, but also a broad diversification of macro-views. - sector and theme exposure: the core long bulls emphasize technology, semiconductors, and innovation-themed etfs (ark, tark, soxx, tecl, soxl, etc.), with exposure to large-cap growth through upro/qld/tqqq-like products. the defensive overlays emphasize bonds (shy, agg, ief, tmf, tmv, tlt proxies), gold (gld), and currency/commodity exposures (uup for dollar, uco for crude oil). global exposure includes yinn (china bull), edc (emerging markets), ewz (brazil), epi (india-focused?), and other international leverage vehicles. - conclusion about intent: the designer intends to blend aggressive growth/risk-on tilts with tactical hedges and risk-off overlays, using a broad array of momentum and trend signals. the daily rebalance cadence implies a short-to-medium-term horizon with frequent turnover, aiming to harvest short-term alpha from leverage while cushioning downside via volatility and bond hedges. warning signs include complexity, high turnover, leverage compounding effects, and reliance on many relatively volatile instruments; this is likely suited for sophisticated, risk-tolerant investors and not for a buy-and-hold approach. notes for explainability and future maintenance: - if you were to explain this to a layperson, focus on the idea of three layers: (1) a core set of high-growth bets via leveraged tech/ark-like exposure, (2) a parallel set of hedges and bear bets to protect in bad markets, and (3) periodic reshuffling every trading day based on short-term momentum and price trends. emphasize that leverage magnifies both gains and losses, especially when held over multiple days due to compounding, so this is risky and not suitable for passive investors.