A daily bank-blender that splits capital between the top 14-day performer (30%) and the least-volatile 14-day bank (70%) from a global bank universe, rebalancing each day to maintain the 30/70 mix.

- You start with a defined set of large bank stocks (the universe). - Every day, the system looks back 14 trading days to rank banks by two criteria: 1) Cumulative return: which bank gained the most over the last 14 days? 2) Volatility: which bank had the least price movement variability over the last 14 days? - From each criterion, it picks one bank (top performer for growth, lowest-volatility for risk). - The portfolio then allocates 30% of capital to the 14-day top performer and 70% to the 14-day least-volatile bank. The two positions are held simultaneously. - Rebalancing happens daily: the selections and weights are updated, and the holdings are adjusted to reflect the 30/70 split. - The 30-day context helps stabilize decisions; the core signals rely on the 14-day lookbacks for momentum and risk. - Important caveats: no explicit diversification beyond two banks; potential overlap if the same bank wins both signals; likely trading costs due to daily rebalancing; no hedging or cross-asset risk controls included.

Two-asset global bank blend (30% top 14-day momentum, 70% least-volatile 14-day) offers stronger out-of-sample performance than the S&P: Sharpe ~1.69 vs 1.30, Calmar ~3.0, and ~57% annualized return, with daily rebalancing to stay on trend.