Cautious, multi-window momentum/volatility rule: favors 3x Nasdaq exposure (TQQQ) when SPY momentum lags SHY and SPY volatility is low; otherwise stays in cash via USFR; non-rebalanced, multi-threshold risk checks.

- The strategy alternates between two main assets: TQQQ (a 3x levered Nasdaq ETF) and USFR (a cash-like instrument). - It uses SPY as the stock-market proxy and SHY as the bond-like proxy for momentum comparisons. A key signal is RSI (relative strength index), computed over several lookback periods (14, 21, 28, 35, 42 days). - For each lookback window, it checks if RSI(SPY, window) is less than RSI(SHY, window). If SPY’s momentum is weaker than SHY’s, the plan leans toward TQQQ; if not, it leans toward USFR. - In addition to the RSI comparison, the strategy also assesses SPY’s recent volatility via a standard-deviation-based metric (a return-based measure). It compares SPY’s volatility against fixed thresholds (1%, 1.5%, 2%) depending on the risk setting. - There are multiple risk settings (1% stdev, 1.5% stdev, 2% stdev) each with its own 14d/21d/28d/35d/42d sub-paths. A path tends to allocate to TQQQ only if both RSI-relative conditions and the volatility condition are satisfied for that setting. - The “wt-cash-equal” nodes imply that when conditions do not favor TQQQ, the system weighs cash exposure evenly within the risk framework (i.e., protective posture). - The design favors a cautious approach: it introduces a handful of filters to ensure that a switch to high-risk leverage happens only when momentum signals are favorable across several timeframes and the market hasn’t shown heightened volatility that would undermine risk controls. - Rebalancing is not done on a fixed schedule; instead, signals trigger exposure changes. The corridor width and the nested, multi-window logic indicate the system tolerates only tight, corroborated signals to stay in the leveraged position. - In short: if SPY shows stronger momentum than SHY or volatility is too high, stay in cash (USFR). If SPY lags SHY but volatility is low enough and several lookback windows concur, take a leveraged Nasdaq bet (TQQQ). The result is a cautious, signal-driven, multi-layer rule set rather than a simple single-indicator rule. - Note: USFR is a cash proxy and TQQQ is a high-risk levered exposure; the combination aims to balance upside potential against downside risk within a rule-based framework. The logic does not include other popular tickers beyond the four assets named and relies on RSI and volatility screens across several lookback windows.

Out-of-sample, this strategy targets about 38.6% annualized return vs SPY’s 22.6%, using multi-window momentum and volatility signals to time 3x Nasdaq exposure when favorable. Expect higher upside but larger drawdowns (~46% vs SPY’s ~19%).