A daily, multi-layered ETF strategy that diversifies across sectors, uses multi-timeframe momentum signals, and employs volatility and bond hedges to limit drawdowns while seeking upside participation.

Every day, the system scans a large list of ETFs (including SPY and many sector ETFs like XLK, XLV, XLE, XLF, XLP, etc.) plus hedges (UVXY, VIXY) and bonds (TLT, TMF, SHY, BIL). It computes momentum and volatility signals across multiple lookbacks (short, medium, long) and ranks candidates. It then selects a small set of top assets (often diversified across sectors) to hold, and assigns hedges if risk indicators are high. The approach includes several defensive blocks (risk-off, safety, and hedged baskets) that switch in when volatility spikes or when long-term trend signals weaken. The daily process also dynamically weights cash and adjusts exposure to bond and volatility instruments to cushion drawdowns. Overall, it aims to participate in up markets via diversified sector/market exposure while leaning on volatility and bond hedges in stressed conditions.

Out-of-sample edge: ~20% annualized return vs SPY 19.3%, diversified sector momentum, and volatility/bond hedges to cushion drawdowns. Slightly lower OOS risk-adjusted return, but proactive risk management helps protect in volatile markets.