A complex, rule-based, out-of-sample diversified rotation that blends equities, sector/CP proxies, volatility hedges, and a managed-futures diversifier (KMLM) using momentum and moving-average signals to select assets and groups, with cash if conditions aren’t favorable.

- The system evaluates a large universe of assets and hedges (including popular names like AAPL, MSFT, NVDA, TSLA, AMZN, GOOG and major ETFs) using a stack of signals. It tests momentum (RSI-like measures) and price momentum (moving-average comparisons) across multiple time windows. - Based on a long chain of if/then rules, it selects one or more sub-strategies (groups) to carry exposure. Some groups get full weight; others get partial weight (e.g., 60/100 or 30/100). - Within each active group, it selects assets using top/bottom ranking (for example, “top 1” by moving-average return over a window, or “top 2” by RSI). It applies cash allocation so that if no group signals are favorable, it distributes cash across groups to maintain capital preservation. - The strategy includes hedges for rising volatility (UVXY, VIXY, UVIX) and uses risk-reducing buckets (GLD, IEF, UUP, TMF) under certain signals. It also weaves in KMLM (a managed futures ETF) as a diversifier to capture non-traditional asset behavior. - Rebalancing is not calendar-based in the description; signals drive position changes when rules fire. The approach is explicitly out-of-sample tested to reduce overfitting. - Overall, the plan is to be market-regime adaptive: rotate into leaders during favorable momentum, rotate toward hedges or safer assets during risk spikes, and rely on diversification to smooth performance.

Out-of-sample return 20.6% vs S&P 17.2%, achieved by a diversified, rule-based rotation using momentum, hedges, and KMLM futures. Seeks stronger upside across regimes with risk controls, though drawdowns can be larger in downturns.