A multi-asset, rules-based strategy that tilts between commodities momentum, broad-market momentum, bonds for ballast, and safety hedges. It uses short- to medium-term momentum signals and risk checks (RSI, drawdowns) to pick assets and weight them, aiming for diversified, regime-aware returns with downside protection.

How it works in plain language: - The strategy divides money into four main areas: Commodities, Broad Market, Bonds (as ballast), and Safe Haven assets (gold and cash-like hedges). - Within each area, it runs simple, rules-based checks to decide which ETFs to buy and how much weight to give them. For example, it looks at how much these assets have risen over the last few months (momentum) to decide which ones look strongest, and also checks recent price behavior to avoid buying when momentum is fading. - It uses a short-listing rule in the Commodities bucket to pick the top two performers over a 120-day lookback and give that block a fixed share of the portfolio (about 8.5%). - In the Broad Market bucket, it uses several mini-blocks (Block 1, Block 2, etc.) that apply specific criteria (like short-term momentum, volatility signals, or drawdown checks) to decide which leveraged or non-leveraged equity-focused ETFs to include; this often involves targeting high-beta or high-volatility vehicles during strong uptrends and reducing position size when signals weaken. - The Safe Haven and Bond blocks are designed to provide ballast: when risk rises, the model tends to tilt toward cash-like, inflation-hedged, or higher-quality bond exposures; when risk is tolerable, it allows more exposure to equities and momentum bets. - Weights are added up to total 100 and can be allocated across several assets in each block. The model often uses both “top” and “bottom” sorts and multi-criteria filters to select which assets appear in the final mix. - Rebalancing is not fixed in all cases; some blocks specify “rebalance none,” meaning the allocation persists until a block’s conditions suggest a change or until manual intervention. Indicators: RSI (a momentum gauge), moving-average concepts (to smooth price trends), and cumulative returns over windows like 1, 5, 6, 12, 20, or 120 days are used to decide which assets to own and how much to overweight them. If you’re unfamiliar with RSI: it’s a number that tries to quantify whether an asset has recently surged (could be overbought) or fallen (could be oversold). The thresholds (like 79) are just rules of thumb the model uses to determine whether a trend is strong enough to justify a larger bet. In practice, the model favors adding exposure to assets showing persistent strength and reduces or hedges exposure when signals deteriorate. Tickers: Many tickers are ETF-based or exchange-traded products (e.g., SPY tracks the S&P 500; UVXY tracks leveraged volatility; TECL and SOXL are leveraged bets on tech and semis; GLD is gold; BND family are broad-bond funds). The exact universe can be extended beyond the shown set if desired (e.g., KMLM is an example of a less-popular ETF you mentioned). Rebalance philosophy: The plan is to dynamically tilt between risk-on and risk-off regimes, with several blocks controlling how aggressively to chase momentum or add hedges, and with some blocks enforcing hard caps or thresholds on exposure to a given asset class. Real-world considerations: Liquidity, trading costs, tax implications, and slippage will affect live performance relative to the backtest. The strategy is best understood as a cautious, layered tactical allocation that tries to ride momentum in multiple domains while maintaining ballast and hedges to reduce large drawdowns.

This multi-asset, rules-based momentum strategy offers better risk-adjusted returns than the S&P 500. OOS Sharpe ~2.05 vs 1.44, drawdown ~6.5% vs ~18.8%, Calmar ~3.12, and built-in ballast (bonds, gold) with regime-aware momentum signals.