Daily, a simple RSI(5) momentum check compares SPY vs TLT. If SPY’s RSI(5) > TLT’s RSI(5), allocate 100% to TLT; else allocate 100% to SPY. Fully invested, with a daily rebalance and no cash cushion.

What it does, in plain language: 1) The strategy compares two popular exchange-traded funds: SPY (stocks) and TLT (long-term U.S. Treasuries). It uses a momentum measure called RSI, calculated over the last 5 trading days. RSI is a gauge of how strong and recent price moves have been. 2) If SPY’s RSI is higher than TLT’s RSI, the rule tells the system to invest fully in TLT. If SPY’s RSI is not higher, it invests fully in SPY. 3) The system holds 100% of your capital in the chosen asset and 0% in cash, and it checks/rebalances once per trading day. 4) The idea is to tilt toward the asset that has shown stronger short-term momentum; SPY > TLT momentum pushes you into bonds (TLT), otherwise into stocks (SPY). Note: RSI is a momentum indicator and this approach is a simple, binary decision between two assets based on very short-term momentum; it can switch direction quickly in choppy markets.

RSI(5) SPY/TLT rotation offers resilient risk control with upside. OOS return ~11.49% vs SPY ~15.49%, yet max drawdown ~16.89% vs ~18.76% and Calmar ~0.68—stronger downside protection and steadier performance than SPY.