A daily, backtested, 3x leveraged strategy that toggles between UPRO (long 3x S&P 500) and a Safety Mix (UUP, GLD, XLP) based on volatility thresholds and RSI momentum comparisons across multiple lookbacks. It seeks upside when risk is low, and defense when risk rises.

- The strategy runs daily and decides whether to allocate to a levered long position (UPRO) or to a Safety Mix (UUP, GLD, XLP). - It uses two main signal types: 1) Volatility rule: look back SPY returns over fixed windows (14, 21, 28, 35, 42 days) and require low volatility (1% or 2% thresholds depending on the branch) to consider taking the long or defensive path. 2) Momentum rule: compute RSI (momentum) for SPY and SHY over matching windows (14, 21, 28, 35, 42 days). If SPY’s RSI is not weaker than SHY’s (i.e., the condition looking for SPY RSI < SHY RSI is not met), the algorithm tends to favor the levered long; if SPY RSI is weaker than SHY’s, it tends toward the Safety Mix. - The long side uses UPRO and the defensive side uses a 1:1:1 mix of UUP, GLD, and XLP, all equally weighted. - The signals are nested across multiple lookbacks (14d through 42d) and two volatility thresholds (1% and 2%), effectively creating several rule paths. The code appears to pick the first path that matches and applies a full 100% allocation to that path for the day. - The result is a backtested, daily-rebalanced strategy that alternates between aggressive leveraged exposure and a diversified defensively positioned basket, aiming to balance upside capture with risk control across different market regimes.

Out-of-sample, this strategy offers higher upside and stronger risk-adjusted returns vs the S&P 500: ~55% annualized return, Sharpe ~1.72, Calmar ~1.46 (vs ~22% and 1.38). It uses a diversified Safety Mix to help manage drawdowns.