A daily, rule-based, multi-asset system that uses momentum (RSI) and volatility signals to tilt between equities and hedges/diversifiers, aiming to capture upside while limiting drawdown through VIX-related hedges and bond/diversifier overlays.

Full Frontrunner | Anansi is a daily-rebalanced, rule-based system that blends equity momentum with volatility hedges and bond/diversifier overlays. It uses RSI (a momentum measure) on core market proxies (like SPY and QQQ) and a set of volatility signals (VIX-related ETFs) to decide whether to tilt toward stocks or switch into hedges and safer assets. When momentum and volatility signals look favorable, it increases equity exposure (e.g., SPY/QQQ and related sector/value tilts). When momentum weakens or volatility spikes, it moves into hedges (VIXY, VIXM, UVXY, SVXY, BTAL) and protective assets (BIL, EDV, GLD) to reduce drawdown. The model also includes bond/defense screens (AGG, IEF, SQQQ, PSQ, SPXU, TMF) and even a 200-day/longer-term trend filter to prune exposure during sustained downturns. The overall aim is to participate in market upside while limiting losses in downturns through a structured, rule-based mix of equities, hedges, and diversifiers. It’s a sophisticated, dense framework with many nested conditions, designed for a risk-tolerant investor who understands that levered and inverse ETFs can introduce additional risks and costs. What you actually own at times will look like a list of different asset groups depending on the signals: core equities (SPY/QQQ and some sector/value tilts), volatility hedges (VIXY/VIXM/UVXY, SVXY, BTAL), and diversifiers (BIL, EDV, GLD, AGG, TMF, SQQQ, PSQ, SPXU). The exact mix changes daily as signals flip, but the intent is to balance upside with downside protection across regimes.

Out-of-sample annualized return ~42% vs SPY ~18%, with Calmar ~1.53, signaling strong risk-adjusted upside. Uses momentum plus volatility hedges and bonds to capture gains while limiting losses; note higher drawdowns than SPY.