A large, rules-based, multi-asset momentum system that rotates among equities, bonds, commodities, currencies, and volatility hedges using RSI and moving-average signals, with built-in risk controls and leverage to chase trends while seeking downside protection.

A broad, modular, rules-based momentum system. It rotates among stocks, bonds, commodities, currencies, and volatility products using moving-average checks, RSI momentum signals, and return rankings. Each module picks top assets, assigns weights, and combines them into a 100% portfolio. The system shifts toward levered bets in bull markets and toward bonds, gold, USD, and volatility hedges in risk-off regimes. Daily rebalancing keeps exposures aligned with evolving momentum. Key signals include price above moving averages, high/low RSI readings, and relative performance over windows such as 10, 20, 50, 100, and 252 days. Tickers are ETF symbols that represent the asset class (e.g., SPY for S&P 500, QQQ for Nasdaq, GLD for gold, TLT for long-dated Treasuries, DBC for commodities, UVXY for volatility futures). The approach emphasizes diversification, trend-following, and built-in downside protection.

Out-of-sample, this multi-asset momentum system offers trend-following, diversification, and downside protection—delivering lower drawdowns (3.0% vs 5.1%), Calmar ~1.95, and steadier risk-adjusted growth than the S&P 500.