A daily, rule-based oil-and-volatility strategy that rotates among oil exposure (NRGU), short-term Treasuries (SHV), and volatility hedges (SVXY, VIXM) using the oil instrument’s RSI momentum and a drawdown risk check to decide where to allocate capital.

- The strategy looks at four assets: NRGU (oil exposure with 3x leverage), SHV (short-term U.S. Treasuries), SVXY (short VIX futures), and VIXM (mid-term VIX futures). - It runs on a daily rebalance, using a decision tree that centers on the momentum of NRGU (measured by RSI over a 10-day window) and a risk check (max drawdown over a 9-day window). - RSI (relative-strength index) is a gauge of how quickly and how much the price has moved recently. Very low values suggest recent price declines or “oversold” conditions; very high values suggest strong recent gains or “overbought” conditions. In this strategy, RSI thresholds of roughly 12, 25, and 78 are used to trigger different allocations: - If RSI(NRGU) < 12: go fully into NRGU (oil exposure). - Else if RSI(NRGU) < 25: favor risk-off/hedging assets (SHV, possibly SVXY) depending on other signals. - Else if Max Drawdown(NRGU, window=9) > 13: shift toward hedges (SVXY or SHV) to reduce risk after a big oil drop. - Else if RSI(NRGU) > 78: tilt into VIXM (long volatility) to hedge rising volatility when oil momentum is extreme. - Otherwise: default to SHV (safety) or a hedged position. - Weighting appears to use an “equal cash” approach within the chosen set for a given decision (i.e., the system tends to allocate 100% across the assets selected by the rule, rather than stacking one asset exclusively in all cases). - In short, the system uses oil momentum as the main driver and then applies risk controls and volatility hedges to form a diversified, but oil-centric, portfolio. - Important caveats: NRGU is a 3x leveraged instrument, so moves are amplified and can be volatile. The hedging ETFs (SVXY, VIXM) behave very differently in various market regimes and can cause drawdowns themselves. The RSI thresholds and drawdown checks are knobs that shape risk/return; real-world performance depends on market regimes and execution.

Oil/volatility strategy offers diversification with a ~0.58 beta, giving exposure to different drivers than the S&P. Rule-based hedges aim to dampen risk during oil shocks and volatility spikes, complementing core equity exposure.