A rule-based, multi-Stage momentum strategy that screens SPDR sector ETFs for dip-rebound opportunities using RSI signals, cross-checks with bond-market indicators, and a drawdown-based ranking to select up to 6 sectors, which are then equally weighted in the portfolio."

- It scans a broad list of SPDR sector ETFs (e.g., XLK, XLE, XLRE, XLC, XLU, XLF, XLB, XLI, XLP, XLV, XLY) to find candidates for investment. - For each sector, it computes the Relative Strength Index (RSI) on different lookbacks (roughly 10, 20, 60, 200 days) to measure momentum and potential reversals. - The primary gate uses a short-term RSI check (for example, RSI over 10 days is compared against a threshold like 30). If a sector is below that threshold (potential “dip” or oversold condition), it proceeds down the “Dip Finder” path; otherwise it explores alternative checks. - The strategy includes a “Dip Finder” step that looks for sectors showing favorable momentum conditions, and a “Double Pop Bot” sub‑routine that cross-checks sector RSI with longer windows and compares it against bond-market indicators (BND, IEF, TLT) to ensure the environment is supportive (not too risky). - Bond-market checks (e.g., comparing IEF vs TLT RSI, or BND relative strength) add a cross-asset sanity check to avoid buying in a deteriorating bond backdrop. - There are occasional hedge/volatility references (UVXY) and a short-term Treasury fund (BIL) used within the logical branches as needed. - After all sectors have been evaluated, the algorithm ranks the eligible candidates by a risk metric (max drawdown) over a lookback window and selects the top 6. - The chosen sectors are then allocated with equal cash weight among them (i.e., each selected sector gets the same allocation). - The overall framework includes a “rebalance corridor” setting and an explicit note of “5% threshold” in the title, signaling an intent to avoid over-concentration, though the exact code snippet shows equal-weighting within the final selection. In plain terms: the code tries to buy 6 sectors that look like they’re about to bounce from a dip, while checking that the broader bond context isn’t unfavorable and that risk (drawdown) is manageable, then splits the money evenly among those six.

Disciplined sector-rotation with built-in risk controls: oos drawdown 11.95% vs SPY 18.76%, equal-weighted top 6 sectors, cross-asset checks, Calmar ~0.68. Steadier risk-adjusted exposure with less tail risk.