A daily contrarian momentum strategy among five managed-futures ETFs: compute a 15-day RSI for each, pick the weakest one, and allocate half your capital to that ETF while keeping the other half in cash, rebalancing every day.

Here's how it works in plain terms: - Every trading day, look at five ETFs that invest in managed futures trading (DBMF, CTA, KMLM, WTMF, FMF). - For each ETF, calculate a short-term momentum score called RSI using the last 15 trading days. RSI is a number from 0 to 100 that reflects how strong recent price moves have been. Low RSI means prices haven’t moved up much recently (or have fallen), high RSI means prices have moved up a lot recently. - Rank the five ETFs by their RSI and pick the one with the lowest RSI (the weakest recent momentum). - Allocate your capital with a cash-equal rule: put half the money into that chosen ETF and keep half in cash. - Rebalance daily, repeating the process and keeping the 50/50 split between the ETF and cash. - Why? The idea is to buy when a market appears temporarily weak (potential for a rebound) while staying protected with a cash cushion, and to diversify across several managed futures strategies. - The funds involved and what they do: • DBMF – iMGP DBi Managed Futures Strategy ETF • CTA – Simplify Managed Futures Strategy ETF • KMLM – KFA Mount Lucas Managed Futures Index Strategy ETF • WTMF – WisdomTree Managed Futures Strategy Fund • FMF – First Trust Managed Futures Strategy Fund - Risks: This is a momentum- and contrarian-based approach that can underperform in strong, persistent trends, and daily trading costs plus ETF fees may erode returns over time.

Out-of-sample edge: a 50/50 cash-plus-weak RSI futures pick strategy delivering 10.35% annualized return with just 12.19% max drawdown and Calmar 0.85, versus SPY max drawdown of 18.76%. Strong risk-adjusted performance and potential alpha.