A daily, rule-based ETF rotator around KMLM that uses RSI and moving-average momentum to switch between cash, short-term bonds, and a mix of equity/levered exposures, with a Long/Short Rotator as a hedge. It aims to ride trends but cut risk when momentum overheats.

- Universe: Uses a mix of ETFs for equities, leveraged exposure, short-term Treasuries, and some hedging/alternative positions (examples include SGOV, SPY, QQQ, QLD, ROM, SPUU, TQQQ, VOX, XLK, XLP, SPXU, SSO, QLD, UVXY, QQQE, VTV, VOOG, TECL, SPUU, ROM). - Core signals: The strategy relies on two main inputs. 1) Short-term momentum signals using RSI (Relative Strength Index) on a 10-day window for several tickers. If the RSI of a ticker exceeds about 79, that indicates a strong, potentially overextended move; this triggers a defensive check (often moving to cash or to a safer ETF). 2) Momentum ranking using moving-average-return (a simple measure of how the asset performed recently). The strategy sorts assets by this metric and tends to take the very top performers (e.g., top 1 or top 5 from a candidate list). - Decision flow (high level): • Start with cash-equal gating: in some branches, if conditions are met, the system allocates 100% to cash (i.e., no market exposure). • If RSI-based conditions on a sequence of tickers fire (e.g., QQQE, VTV, VOX, TECL, XLP, etc. with RSI > 79), the logic routes toward cash or a conservative asset (SGOV or similar). • If none of the RSI gates trigger, the strategy looks for a “Single Popped KMLM” moment, which uses a top-ranked set from a small universe (e.g., QLD, SPUU, ROM) via the moving-average-return filter and then decides whether to allocate to KMLM or another rotation. • The “Long/Short Rotator” is a nested, separate sleeve that can place weight on a short/hedged set of assets (e.g., USD-based hedges, treasury hedges, currency plays) based on its own top-N momentum ranking. - Rebalance frequency: daily. Allocation can flip between cash, KMLM-based exposures, pure equities, leveraged bets, or hedges depending on the trigger path. - Target outcomes: capture upside when momentum is broad and strong, while preserving capital or reducing risk when momentum signals are overheated or turning negative. The strategy is complex and relies heavily on short-term momentum signals and layered decision rules, which can lead to rapid changes in exposure. It is best suited for an investor comfortable with quantitative rotation and the risk of levered ETFs.

Out-of-sample, this ETF-rotation strategy vastly outperforms the S&P: ~58.5% annualized return vs ~20.7%; Sharpe ~1.44 vs ~1.16; Calmar ~4.01; max drawdown ~14.6% vs ~18.8%. Momentum/RSI rules target upside with risk control.