A risk-managed, momentum-based strategy that protects during spikes in volatility and tilts into or against emerging markets based on USD strength, using leveraged EM ETFs (and their inverse/USD hedges) chosen by short-term RSI screens. It starts in 2013 and uses a crash hedge (SHY) if volatility spikes; otherwise, it lever-ups EM when USD is weak or hedges when USD is strong, selecting a single instrument by a 5-day RSI ranking.

In simple terms: every trading period the strategy asks three questions in order: 1) Is the market popping with fear? It checks VIXY’s momentum (RSI over 97 days). If fear is high (RSI > 54), it moves all money into SHY (very safe, short-term Treasuries). 2) If fear isn’t high, is the US dollar weakening? It looks at a price comparison of the U.S. dollar ETF (UUP): if the 15-day average price is below the 200-day average (a sign of USD weakness), the strategy leans into leveraged emerging markets by picking one of four EM ETFs (EDC, KORU, INDL, BRZU) that have the weakest short-term momentum over the last 5 days. It then allocates fully to that single instrument. 3) If the USD is strong, the strategy shifts to hedging against EM by selecting either EDZ (bear EM) or USDU (USD bull) using the same 5-day momentum screen and goes all-in on the chosen one. There is no frequent rebalancing in this design; weights are effectively 100% in the chosen instrument per signal. The corridor width (0.1) hints at a tolerance for drift before a reset, but the explicit rebalance is off in this setup. The overall aim is to protect against crashes, then bet on EM growth when USD is weak, and hedge when USD is strong, using short- or leveraged-ETF vehicles suited to those bets. The result is a bet-on-EM cycle that is conditional on volatility and USD direction, not on broad market indices or individual fundamentals.

Out-of-sample edge: EM/USD tilts with crash hedging offer higher upside (~25.5% p.a.) vs SPY (~23.3%), plus diversification. Simple rule-based 100% exposure per signal, but higher drawdowns (~41.7%).