Multi-layer LETF strategy that blends momentum/mean-reversion signals with a Black-Swan hedge approach, dynamically rotating between leveraged bets (like TQQQ, SOXL, SPXL) and volatility/defensive hedges (UVXY, SQQQ, SPXS, GLD, UUP) across a broad asset universe; aims for strong upside with risk controls, evaluated via RSI, cumulative/moving returns, and relative strength rules. Heavy reliance on levered ETFs and complex conditional logic makes it powerful but high-risk and execution-sensitive.

This strategy constantly scans many ETFs to decide where to invest most right now. It primarily bets on leveraged tech/big‑cap themes (like TQQQ, TECL, SOXL, SPXL, UPRO) when momentum looks strong, but it can flip into hedges (UVXY, SQQQ) or defensive assets (GLD, UUP, TLT, AGG, DB-related funds, etc.) when volatility or pullbacks spike. The decision path uses several layers of rules: (1) momentum indicators (RSI) on various lookbacks to gauge whether a stock or ETF is overbought/oversold or trending. (2) short- to mid-term performance checks (cumulative returns, moving-average performance) to compare assets against benchmarks like SPY or SPXU. (3) relative strength comparisons to pick the best subsets within a group (e.g., top/ bottom performers over a window). (4) a “Black Swan Catcher” component that pivots into hedges if volatility surges (via UVXY or inverse levers) to help limit big losses. The structure is hierarchical and rule‑driven, with nested if-else decisions that select a sub-portfolio and apply a weight, often fully allocating to the chosen assets. No fixed periodic rebalance is used; changes occur when the signals flip, effectively making the strategy respond to market regime shifts in real time. The result is a dynamic blend of aggressive upside capture during trends and defensive hedges during spikes, all underpinned by momentum and mean-reversion logic across a broad LETF ecosystem. Although potent, this approach is highly complex and depends on timely execution and the behavior of leveraged ETFs, which can be unreliable over long holding periods due to decay and compounding effects. The setup also references a wide array of assets (e.g., TQQQ, TECL, SOXL, UPRO, SPXL, UVXY, SQQQ, SPXS, SPXU, GLD, UUP, TLT, AGG, DBC, INDL, BRZU, MIDU, KORU, etc.), indicating broad sector/region coverage beyond just the most well-known tickers. If you want KMLM specifically analyzed within this framework, I didn’t find it in the provided rules, so I can tailor instructions once you confirm its intended role.

Out-of-sample: ~52% annualized return vs SPY ~24%; Calmar ~1.04; Sharpe ~0.94. Dynamic leverage plus volatility hedges seek big upside while controlling tail risk—though drawdowns can be larger than the S&P.