A complex rule-based, regime-switching strategy that dynamically tilts between inflationary and disinflationary bets using momentum, mean-reversion, and volatility signals across a broad set of asset groups (commodities, bonds, equities, currencies, and sector ETFs).

Think of this strategy as a weather-forecaster for markets. It first guesses whether the current environment is more inflationary (rising prices) or disinflationary (slowing price gains). Depending on that view, it picks a set of asset groups to tilt toward (for example, inflation beneficiaries like energy and certain commodities, or inflation hedges like gold and long-duration bonds). It then looks at price momentum and trend signals to decide which assets in those groups look strongest or weakest. Signals include simple momentum checks (has this asset been going up or down recently?), and how prices compare to moving averages (is the price above/below a smoothed trend?). Some parts try to exploit mean-reversion (extreme moves likely to revert) and volatility patterns (how calm or jumpy the market is). Weights within each group can be fixed or spread evenly, and the system can also take short positions or inverse exposures to hedge risk or bet on reversals. The result is a daily-adjusted mix of assets that aims to perform well when inflation is rising and when disinflation or growth expectations are favorable for bonds and related assets, with built-in risk controls to avoid staying overly bearish or bullish for too long. The strategy uses a wide set of ETFs and funds (e.g., broad tech like QQQ, gold GLD, oils USO, natural gas UNL, energy XLE, bonds like TLT, volatility proxies like VIXM/SVXY, etc.). Some less familiar tickers (like KMLM) are simply part of the universe the rules can select from; you don’t need to know each one to understand the idea—the system decides which to hold based on its rules. The approach is complex and data-heavy, so implementation requires careful data handling, backtesting, and ongoing risk monitoring.

Out-of-sample return ~22.96% vs S&P ~22.93%, but with far lower drawdown (~9.37% vs ~14.70%) and Calmar ~2.45. A diversified, regime-switching strategy aims for higher upside with stronger downside protection.