A daily, multi-horizon, risk-tuned signal system that toggles between a leveraged stock ETF (SSO) and a short-term bond ETF (SHY) using RSI momentum comparisons (SPY vs SHY) and SPY volatility filters, with cash cushioning and three risk presets.

- The fund rebalances every trading day. - It explores three risk profiles: 1% stdev, 1.5% stdev, and 2% stdev. Each profile has sub-branches for different lookback periods (14, 21, 28, 35, 42 days). - For a given lookback window, it first checks a volatility rule: is the 14/21/28/35/42-day standard deviation of SPY returns below the profile’s threshold (1, 1.5, or 2)? If yes, the signal may proceed; if no, it tends to a safer result (often SHY or cash). - If the volatility condition passes, it then compares momentum: RSI(SPY) vs RSI(SHY) over the same window. RSI is a momentum measure; the rule is: if RSI(SPY) < RSI(SHY) (i.e., SPY’s momentum is weaker than SHY’s), the strategy selects SSO (the 2x leveraged SPY proxy). If not, it selects SHY (bond exposure). - The decision paths are nested across windows (14d through 42d) and across the three stdev profiles, effectively combining signals from multiple horizons. - When a branch selects SSO or SHY, the corresponding allocation is applied, with “wt-cash-equal” steps indicating cash portions are distributed evenly within those decision nodes. - The end result is a single daily allocation among SSO, SHY, and cash, biased toward SSO when SPY’s momentum is lagging SHY but volatility is low, and biased toward SHY (or cash) otherwise. - Assets involved: SPY (not directly held in long form here), SSO (2x SPY), SHY (short-term Treasuries).

Out-of-sample Sharpe 1.67 vs S&P 1.38 and ~33% annualized return vs ~22%, with beta ~0.92 and a cash cushion. A disciplined, multi-horizon signal tilts between 2x SPY and SHY to boost upside while reducing risk.