A daily-rebalanced, momentum- and volatility-driven regime switch between 3x levered S&P 500 (UPRO) and Treasury ETFs (SHY/TLT), using RSI SPY vs SHY and SPY return volatility across multiple lookback windows to decide where to invest.

- The strategy runs every trading day and picks one primary holding. It alternates between ProShares UltraPro S&P 500 (UPRO) and treasury ETFs (SHY or TLT). - Signals rely on two pieces: 1) Momentum check: compare RSI (a momentum measure) of SPY vs. SHY over a window (14, 21, 28, 35, or 42 days). If RSI(SPY) < RSI(SHY) for that window, the system leans into UPRO; otherwise it leans into bonds (SHY or, if volatility is high, TLT). 2) Volatility gate: compute the standard deviation of SPY returns over the same window. Depending on the regime (1%, 1.5%, or 2% stdev), this threshold helps decide whether to stay in leveraged stocks or shift to bonds. - The lookback window (14d through 42d) and the volatility regime are evaluated in layers, effectively selecting the regime that passes the checks for that day. - Weighting: within the chosen asset, the allocation is effectively 100% to that asset (the code shows full-weight on the selected position). - Rebalance: every trading day. - In practice, the strategy uses SPY as the market proxy and moves between UPRO (bullish, levered stock exposure) and bond ETFs SHY (short-term) or TLT (long-term) to manage risk, aiming to ride uptrends and reduce risk in tougher markets.

Out-of-sample results show higher risk-adjusted upside vs the S&P 500: annualized return ~41.8%, Sharpe ~1.41, Calmar ~1.09. Daily regime-switching between UPRO and Treasuries aims to ride rallies and dampen risk in turbulence.