A daily-rebalanced, multi-asset trend/diversification strategy that buys a mix of equities, hedges, gold, and managed-futures signals, using momentum and price-trend checks (RSI-like signals, moving averages, and max-drawdown rankings) to select and weight assets. It includes a special module around KMLM (20-day momentum) and explicit volatility hedges to protect against downturns.

Plain-English description of how it operates: - Daily rebalance: each day the system recalculates signals and adjusts positions to the current rules. - Build candidate ideas in “groups”: several macro areas are considered (Emerging Markets, US equities with momentum, gold/commodities, and a dedicated trend-follower module using KMLM). - Momentum and trend checks: for each candidate, the strategy looks at price relative to moving averages (is the price above/below its own trend lines?), and momentum indicators (roughly, is the asset relieving or accelerating relative strength against other benchmarks). It uses a Relative Strength style concept (RSI-like signals) to judge whether an asset is strong relative to a reference (e.g., the asset’s own recent performance or a comparison to another asset). - Conditional selection: assets are brought into the portfolio only if the tests pass. If a test fails, the model falls back to other assets or hedges. The rules are highly nested, meaning one decision often depends on several other conditions being true. - Weighting within groups: when an asset passes, it is given a weight. The structure shows many “weights” (e.g., 42/100, 26/100, etc.), which sum to 100% for the overall portfolio. This creates a diversified mix rather than a single “winner-takes-all” bet. - Palettes of assets across classes: equities (broad market, tech-focused, small-cap, and growth proxies), leveraged/short variants for momentum plays, bonds/cash proxies for stability, and safe-haven assets (gold and gold miners). There are also hedging overlays (VIX-related funds) to dampen losses in risk-off periods. - The Holy Grail with 20D KMLM: this module uses a 20-day moving-feature on KMLM (KraneShares Mount Lucas Managed Futures ETF) to tilt between risk-on trend plays (e.g., levered tech, other U.S. growth bets) and hedges or alternatives, depending on the momentum signal observed in KMLM. It also includes cross-checks against other trend/velocity signals (e.g., TQQQ vs. QQQ, SPY vs. SQQQ, etc.). - The four corners and other blocks are essentially sub-strategies that test different flavor combinations (e.g., “QQQ or PSQ,” “Ballast” with long-duration bonds and gold, “3x Long” tech and semis with hedges, and gold/commodity overlays). These blocks feed into the final allocation by either contributing exposure or stepping back if the conditions are not favorable. - Asset coverage and risk controls: you’ll see broad-market exposure (SPY, IVV, QQQ), sector and leverage plays (TQQQ, TECL, SOXL), hedges (SQQQ, UVXY), inflation/deflation hedges (TLT, GLD, GLL, UG L), and a dedicated futures overlay (KMLM). The system also includes risk-based filters (like max drawdown ranking) to pick a single top candidate from a list when needed. In short: the strategy tries to ride trends across asset classes while keeping a protective layer and diversification through hedges, with a sophisticated set of conditions that determine not just what to buy, but when to tilt toward risk-on vs. hedges.

Out-of-sample annualized return: 35.16% vs SPY ~26.8%. A daily-rebalanced, diversified multi-asset trend strategy with hedges and a managed-futures overlay, delivering higher upside and broad diversification versus the S&P 500.