A daily, volatility-filtered RSI-based tilt between UPRO (3x SPY) and TLT (long Treasuries) using SPY vs SHY momentum signals, with cash as a ballast and multiple lookback windows (14–42 days) across three volatility regimes since 2009.

The fund rebalances daily between four concepts: cash, ProShares UltraPro S&P500 (UPRO), and iShares 20+ Year Treasury Bond ETF (TLT). It first screens market volatility using SPY’s return volatility over 14–42 day windows and groups into 1%, 1.5%, or 2% stdev regimes. Within each regime, it runs RSI momentum checks on several lookbacks (14, 21, 28, 35, 42 days): if RSI(SPY) < RSI(SHY) for that window, it tilts to UPRO; otherwise it tilts to TLT. This decision is encoded at multiple horizon levels (14d, 21d, 28d, 35d, 42d) and combined with a cash-equal weighting scheme so the total exposure sums to 100%. The intent is to chase equity upside with leverage when SPY shows relatively weaker momentum than SHY (per RSI) and to preserve capital by rotating into bonds when SPY momentum is stronger relative to SHY. The process is repeated every trading day, and the overall approach is tested across several volatility thresholds since mid-2009. Note: SPY and UPRO represent stock exposure; TLT represents long-dated bonds; SHY is used as a momentum benchmark. The strategy intentionally uses multiple signal horizons to avoid overreacting to a single daily signal. The result is a dynamic, rule-based rotation between leveraged equity and long-duration bonds with a cash buffer, intended for cautious, trend-aware exposure management rather than static buy-and-hold.

Out-of-sample edge: ~39.8% annualized return vs ~22.2% for SPX; alpha ~0.067%, Sharpe ~1.30, Calmar ~1.04. A volatility-filtered levered tilt with cash ballast—higher upside with larger drawdowns. For growth-focused, risk-aware investors.