A rules-based, two-part strategy that diversifies across commodities, USD, gold, and bonds (plus a separate equity module). It uses short-term momentum (10-day) and RSI to pick a single asset per block, with a cash-equally fallback and minimal rebalancing.

What you see is a two-pronged system: Commodities/Bonds and Stocks. 1) Commodities/Bonds block: the model looks at several assets (DBC for commodities, UUP for the dollar, GLD for gold, TLT for long Treasuries, BIL for short Treasuries, and a Treasury inverse) and tries to pick one asset to hold. It first ranks the candidates by short-term performance over a 10-day window and selects the weakest performer (the bottom of the ranking). It then checks momentum signals (an indicator called RSI that measures price momentum) against another asset to see if it’s a favorable setup. If the signals agree, that asset is chosen for that block. If not, the strategy moves to the next block. 2) Cash-equal fallback: if none of the blocks provide a clear winner, the algorithm allocates cash evenly across the eligible assets in that section, keeping things diversified rather than concentrating in one bet. 3) Stocks block: separately, the model looks at a stock-heavy bucket (primarily QQQ, the big tech ETF) and uses a volatility check and momentum signals to decide whether to hold stock exposure or fall back to safer assets like short Treasuries or cash. 4) Rebalancing: actual trading adjustments are kept minimal (rebalance is none, with a tiny corridor), so positions aren’t tweaked unless signals clearly change. In plain terms, the strategy is a rules-based, automatic tug-of-war between commodities, currency, gold, and bonds, with a separate, cautious tilt toward equities when signals look favorable. The goal is broad diversification and a disciplined, mechanical approach to shifting exposure as momentum patterns change.

Out-of-sample, this strategy outperforms the S&P on risk-adjusted return and drawdowns: Sharpe ~1.81 vs ~1.33, annualized ~24.5% vs ~21.7%, drawdown ~12.2% vs ~18.8%, Calmar ~2.01. Diversified, low-turnover edge.