A daily, two-layer rule-based system. If broad-market RSI signals look extreme, tilt toward UVXY (volatility). Otherwise, use EMA-based trend signals to tilt into levered equity ETFs (e.g., SPXL, TQQQ) or move to cash/defensive assets; positions are weighted to cash equally when active.

- The strategy rebalances every trading day. It has two main decision layers. - Layer 1 (volatility tilt): It computes a short-term relative strength index (RSI) on various broad ETFs (like QQQE, VTV, VOX, TECL, VOOG, VOOV, XLP, SPY, etc.). If any of these RSI readings exceed a high threshold (around 79), it signals heightened momentum/overbought conditions in those markets and the system biases toward UVXY (a volatility product) as the chosen position. The RSI checks are nested in a cascade: if the first RSI comparison isn’t true, the system tests the next ETF’s RSI, and so on, until a signal is generated or the path reaches a different rule. - Layer 2 (EMA/trend tilt): Independently or subsequently, the strategy checks price relative to a moving average. For example, a common check is: is the current price of SPY above its 50-day exponential moving average? If yes, it suggests a favorable uptrend and the system buys a levered equity ETF (e.g., SPXL – 3x S&P 500). If not, it may switch to another asset or a cash-like position (e.g., BIL, a short-term Treasuries ETF). Similar EMA checks exist for other assets (e.g., GLD vs a 50-day EMA, or TLT vs a 26-day EMA) with corresponding leverage or defensive assets (like TECL, TQQQ, SPXL, or BIL) chosen in each path. - Weighting: The root node indicates “wt-cash-equal,” meaning the strategy aims to distribute capital equally among the selected assets, or to keep a balanced cash allocation when appropriate. - Asset universe: The model references a broad set of commonly traded ETFs and ETNs (UVXY, SPXL, SPY, TQQQ, QQQE, VTV, VOX, VOOG, VOOV, XLP, XLY, FAS, GLD, EEM, BIL, TLT, etc.). There is no explicit use of KMLM in the provided logic. - Objective: Capture uptrends with leveraged equity exposure when trend signals align, while hedging with volatility exposure if momentum signals in major ETFs indicate elevated risk; otherwise, park in cash/short-duration bonds. - Risk considerations: Leveraged ETFs amplify gains and losses; mixing volatility products with trend-following rules can lead to volatile performance. The long-run effectiveness depends on calibration of RSI thresholds, EMA windows, and how often the signals line up across multiple assets.

Two-layer rule system times volatility and trend signals to target leveraged equity exposure when in uptrends. Out-of-sample results: ~44.9% annualized return, Calmar 1.85, Sharpe 0.90, beta ~1.03. Higher upside vs S&P, but larger drawdowns.