A daily, rule-based, low-beta strategy that uses KMLM as a market-timing gauge to switch between a 10-name defensive stock basket (top RSI) in bear regimes and a single defensive ETF (lowest RSI) in bull regimes, with equal-weight allocations.

- It starts by measuring a market condition using a signal ticker called KMLM. It compares KMLM’s current price to its 200-day moving average. If KMLM is below that average, it’s considered a bearish signal; if above, a bullish signal. - Bearish signal (KMLM < 200-day MA): from a predefined list of defensive stock tickers (eg, Ambev ADR, American Electric Power, AstraZeneca, Bristol-Myers Squibb, British American Tobacco ADR, Anheuser-Busch InBev ADR, Costco, Dollar General, FirstEnergy, GSK ADR, Johnson & Johnson, Monster Beverage, Altria, Merck, NextEra Energy, National Grid ADR, NiSource, Novartis ADR, Philip Morris, Simon Property, Target, US Foods, Vodafone ADR), the strategy ranks them by RSI over the last 14 days and selects the top 10. Those 10 stocks are then weighted evenly in the portfolio. - Bullish signal (KMLM > 200-day MA): from a set of ETFs (BSV, TLT, LQD, VBF, UGE, XLU, XLV, XLP), it picks the one with the lowest RSI over the last 10 days (i.e., the weakest momentum) and allocates fully to that ETF (or equally weights if the rule returned more than one, but the current rule selects a single ETF). - Weights are allocated evenly (equal-weight) across the chosen assets in the respective branch, and the rebalance happens daily. - The strategy aims to capture defense during downturns by holding a basket of defensive names, while in up markets it shifts to a single defensive ETF with relatively lo-weighted momentum to reduce overexposure to highly volatile assets. This framework uses only a fixed universe of assets defined in the model and does not rely on external leverage. It’s designed to be transparent and rule-based rather than discretionary.

Rule-based, daily-rebalanced strategy using KMLM to switch to a 10-stock defensive basket in bear markets and a single defensive ETF in bull markets. Out-of-sample results show stronger downside protection and solid risk-adjusted returns vs the S&P 500.