A daily, rule-based momentum picker across ETFs that guards against downturns with defensive cash-like assets and normally holds a single strongest-momentum ETF, with volatility and drawdown checks and sector/commodity diversification.

A daily screen of a broad set of ETFs. First, the system checks if the market is in a down or risky regime (bear market check) using short- and long-term trend signals on a benchmark (e.g., QQQ). If the market looks weak, it shifts toward defensive assets such as US Dollar exposure (USDU) or anti-beta funds (BTAL). If the market looks healthier, it searches for the strongest momentum signal among candidates by ranking them with a momentum indicator (RSI) over about 35 days, and then selects the top asset to hold. The rules also include volatility-based screens (high vs low volatility pools) and a drawdown check to avoid assets that recently collapsed. In practice, the code often ends up with one primary asset chosen to own at any given rebalance, with the rest treated as cash or hedges, and it rebalances every trading day.

Out-of-sample edge: about 25.2% annual return vs 24.6% for the S&P, lower drawdown (15.2% vs 18.8%), lower beta (0.87), and a stronger Calmar/Sharpe combo (1.66/1.45). A disciplined momentum strategy with better risk-adjusted results.