A daily, rule-based momentum strategy that picks the top 2 performers from a US equity universe, then filters each by RSI and moving-average trend checks; if a stock fails, the slot shifts to cash proxies (SHV, IEI, BIL). It rebalance daily.

- Universe: The strategy looks at a set of big US stocks (e.g., AAPL, MSFT, PEP, GOOGL, TSLA, META, SPY, NVDA, COST, AMZN) plus a market proxy (SPY). It also uses a cash sleeve of SHV, IEI, and BIL for safety. - Step 1: Daily screen. Compute each stock’s cumulative return over the last 20 days. Rank all candidates by this measure and pick the top 2 as the focus set for the day. - Step 2: For each of those top two stocks, apply a sequence of risk checks in a nested fashion: - Momentum/RSI check: Calculate a momentum indicator called RSI (a reading that shows how strong recent price moves are). If RSI is not in an extreme overbought zone (the code uses a threshold around 90 or similar), you proceed to the next check. If RSI is too high, you fall back to the cash sleeve. - Trend check using moving averages: Compare short-term and longer-term price averages. If the short-term average is above the longer-term average (indicating an upward trend), you keep moving to the next check; otherwise you switch to cash. - Additional cross-checks: Some stocks get additional layers of moving-average comparisons (e.g., exponential moving averages with different lookbacks like 6 vs 50 days, or 8 vs 50, etc.). Only if these pass do you actually count the stock as eligible. - Step 3: If a stock passes all applicable checks, it is considered investable for the day. If any check fails, that stock is effectively replaced by cash exposure (SHV, IEI, BIL). - Step 4: Weighting: When cash is used, the cash proxies are weighted equally across the available options (wt-cash-equal). When stocks are used, the scheme typically allocates to the eligible stock(s) according to the top-two selection, but the exact weights are driven by the internal rules (the structure emphasizes equal treatment of cash sleeves as a risk-control asymmetry). - Step 5: Rebalance: The process runs daily, recalculating the top performers and reapplying the filters, so positions can change every day. - What this aims to do for a layperson: Capture upside from recent strong performers while using RSI and trend filters to avoid buying when momentum is extreme or the trend isn’t supportive. If conditions aren’t favorable, shift to safe, short-duration bonds or cash-like assets to protect capital. - Important caveats to keep in mind: This is a highly automatable, rule-based approach that uses a mix of momentum and trend signals. RSI and moving-average decisions are historical-looking and can lag in fast markets. The heavy use of a cash sleeve reduces exposure during some drawdowns but also limits upside during strong market rallies. The universe is skewed toward large-cap growth and consumer/tech names, with SPY as a market proxy, so sector/stock concentration risk remains.

Out-of-sample, this strategy earns far more risk-adjusted growth than the S&P: annualized return ~74.8% vs 18.5%, Sharpe ~2.51 vs 1.04, max drawdown ~9.8% vs 18.8%, Calmar ~7.64. Higher upside with better risk control.