A daily-rebalanced, multi-asset momentum/volatility strategy that uses Pareto-style top-N selection across many ETFs, pairing leveraged equity bets with risk hedges to adapt to changing markets.

A large, rules-based decision tree selects a handful of assets from many ETFs. It ranks candidates by momentum, returns, or RSI over several windows, then groups them into LONG and SHORT sets. Within each group, it picks top assets, assigns weights, and rebalances daily. The system also includes risk controls (volatility and drawdown considerations) and uses hedges like UVXY (volatility exposure) and cash/bond positions (BIL, SHV) to manage downturns. The overall aim is to ride uptrends in equities with levered long bets, while reducing risk by shifting to hedges or cash when signals deteriorate. The “Pareto” and “Risk-On/Risk-Off” groupings indicate a hierarchical, ensemble approach rather than a single rule. The engine blends momentum with risk signals to decide both what to own and how much to own of each, across a broad universe of ETFs, several of which are not popular household names.

Out-of-sample edge: 38.5% annualized return vs SPY 22.9%, Sharpe 1.95 vs 1.88, Calmar 4.65, beta 0.86, positive alpha 0.16%. Higher upside with disciplined risk controls and lower market sensitivity than the S&P.