A regime-switching, momentum-driven portfolio that shifts between three equity sleeves (SPY, QQQ, DIA top-3 momentum picks) during favorable markets and a defensive mix (top 2 commodities + top 3 bonds) during volatility or rate-cut regimes, with signals based on 60-day bond vs cash momentum and a 10-day volatility RSI. The approach emphasizes momentum screening, diversified asset classes, and limited automatic rebalancing.

- Overall idea: The strategy moves between two modes — Risk-On (favoring equities) and Risk-Off (favoring bonds/commodities) — based on simple signal checks. - Step 1: Gauge market regime using two signals. A) Bond vs cash momentum: compare the 60-day cumulative return of BND (broad bond fund) to BIL (short-term cash). If bonds have done better than cash, that supports a risk-taking posture. If cash outperforms bonds, the system leans more defensive. B) Volatility check: look at VIXY (volatility proxy). Compute its 10-day Relative Strength Index (RSI). If RSI > 75, markets are unusually volatile and the system tilts toward cash-like safety (short-term Treasuries, via BIL). If RSI is not that high, the regime can stay in or move toward Risk-On. - Step 2: Decide the regime. If bonds beat cash (BND > BIL) and volatility isn’t signaling extreme fear (RSI(VIXY,10) ≤ 75), the strategy enters Risk-On. If volatility is extreme or bonds don’t beat cash, it moves to the Risk-Off path. There is a separate branch in the logic for a “Fed is cutting rates” scenario which also pushes toward a defensive crouch with commodities and bonds. - Step 3: If in Risk-On mode, build equity sleeves. Three large-U.S. index themes are used: SPY (S&P 500), QQQ (Nasdaq-100), and DIA (Dow Jones). For each sleeve, the strategy screens a predefined list of mega-, blue-chip stocks and selects the top 3 by 20-day momentum (i.e., the best performers over roughly the last month). The winners in each sleeve are then held with equal weight among the three picks in that sleeve. Examples of candidate stocks include big names like AAPL, MSFT, AMZN, NVDA, TSLA, GOOG/GOOGL, META, BRK/B, UNH, JNJ, JPM, XOM, V, LLY, and others. - Step 4: If in Risk-Off mode (including the Fed-cut scenario): shift toward defensive assets. The strategy splits the portfolio between two groups: Commodities and Bonds. For Commodities, it screens a list of commodity ETFs (e.g., COM, FAAR, FTGC, DBC, PDBC, DBA, GLTR, DBB) and selects the top 2 by 20-day momentum. For Bonds, it screens a broad set of bond ETFs (e.g., AGG, BND, BNDX, IEF, EMB, HYG, TBT, TMF, etc.) and selects the top 3 by 20-day momentum. Within each sub-group, weights are allocated evenly across the chosen assets so the total exposure sums to 100%. - Step 5: Weighting and rebalancing. The scheme assigns a total portfolio weight of 100% and distributes it among the chosen assets in each regime (three stock picks per sleeve in Risk-On; two commodities plus three bonds in Risk-Off). The configuration indicates no automatic rebalancing on a regular schedule (rebalance : none). This means changes only occur as the regime switches or as signals indicate a new set of top momentum assets. - What you actually own in each regime: • Risk-On (stable/normal rates): three stock picks from SPY, three from QQQ, and three from DIA, each group equally weighted within itself (roughly 1/3 of that sleeve per pick). • Risk-Off (Fed is cutting rates): two top commodity ETFs and three bond ETFs, each equally weighted within their group. Overall, the portfolio tilts toward growth equities in favorable markets and toward defensive assets (bonds and commodities) when conditions worsen.

Out-of-sample edge: 28.2% annualized vs SPY's 21.3%, Sharpe ~1.48 vs ~1.33, Calmar ~1.32. Regime-switching momentum across stocks and defensive assets to seek higher upside with disciplined risk.