A daily, layered momentum system that trades a basket of liquid, leveraged US-equity ETFs (e.g., SPY, QQQ, UPRO, SSO, TQQQ, QLD) while hedging with VIX-related instruments. Signals come from moving-average momentum and RSI-like rules, with explicit long/short blocks and an overlay hedge when volatility spikes. It balances exposure through inverse-volatility weighting and selects a small set of top performers (often 5) to build a risk-adjusted, leveraged equity portfolio, rebalanced daily.

- Core universe: a broad set of popular, liquid ETFs that proxy large-cap and growth exposure (for example SPY, QQQ, IWM, UPRO, SSO, TQQQ, QLD, etc.). - Selection by momentum: assets are ranked by a moving-average price signal (roughly a 30-day lookback, with additional windows like 5–50–200 days used elsewhere in the logic) and a subset (often 5) of the top/best performers is chosen for inclusion in the Long Stock Block. - Inverse volatility weighting: within the long basket there’s a weighting mechanism (wt-inverse-vol) that tends to favor less volatile members while still expressing exposure to the best momentum ideas. - Long vs short blocks: there are explicit Long Stock Block and Short Stock Block constructs. Each block uses the same inverse-vol ranking process to pick 5 assets but applies them in long or short direction depending on market signals. - Oversold/Oversold framework: an Oversold Block and an Oversold signal set, driven by RSI-type readings on a benchmark (e.g., TQQQ’s price momentum as a proxy), trigger long opportunities when conditions are favorable and short opportunities when conditions are weak. - Overbought/Hedging: an Overbought Block engages hedging via VIX-related vehicles (UVXY, VXX, VIXM) when volatility is high, with 5-day windows and RSI thresholds guiding hedging intensity. - VIX blend blocks: UVXY, VXX, and VIXM are combined in a dedicated block to hedge or dampen risk during risk-off regimes. - Risk controls and rebalancing: the design shows daily rebalancing with explicit weights for long-specific blocks (e.g., a weight around 80/100 in long segments) and hedge positions. The strategy emphasizes protecting downside while opportunistically adding to a concentrated, momentum-based basket of equities. - Ticker-level visibility: tickers include widely traded indices and leveraged proxies (SPY, QQQ, IWM, UPRO, SSO, TQQQ, QLD, SPXU, SDS, SH, SQQQ, QID, PSQ), plus gold/silver and Bitcoin proxies (GLD, SLV, GBTC) and Treasury/alternatives (IYT-like exposure seen via broader proxies, plus TLT, IEF, etc.). The presence of UVXY and VIXM indicates a deliberate hedge overlay during periods of elevated fear. - Summary risk: designed for daily implementation with heavy reliance on leverage and rapid regime-shift hedging; materials imply aggressive strategies in favorable cycles and steep drawdowns in crisis periods. Overall, the approach is a sophisticated, multi-layer momentum-and-volatility hedging framework rather than a simple buy-and-hold strategy.

Out-of-sample edge: 21.16% annualized return vs SPY 17.41%, and max drawdown 10.99% vs 18.76%, delivering a Calmar ~1.93. Momentum with volatility hedges aims for higher upside with lower risk than the S&P 500.