A daily-rebalanced, dynamic, leveraged multi-asset strategy that switches between risk-on equity bets and risk-off hedges using bond momentum signals and RSI/momentum screens to select 1–2 leveraged assets (e.g., SOXL/TECL/TQQQ/UPRO with SPY/QQQ) plus hedges (USD, currencies, commodities, anti-beta). It aims to maximize upside in calm markets while limiting drawdowns in stress periods through diversified risk-off exposures and liquidity-aware substitutions.

What you’re seeing is a daily-rebalanced mix that switches between risk-on and risk-off regimes using a bond signal and momentum screens. 1) Bond signal decides risk posture: if the 56-day return of BND is positive, we’re in risk-on; otherwise risk-off. 2) If risk-on, pick 1–2 assets from a pool (SOXL, TECL, TQQQ, UPRO, SPY, QQQ, etc.) using RSI momentum screens: the assets with the lowest RSI (recent underperformers) on 20-day and 5-day windows are chosen. These are then weighted equally. 3) Additional filters (max drawdown and moving-average rules) adjust exposure and justify hedges or substitutes when momentum and risk metrics disagree. 4) If risk-off, switch to hedges: USD exposure (USDU/UUP), currency hedges (FXY/HEFA), commodity exposure (PDBC/VEGI), and anti-beta/short-treasure overlays (BTAL/HDGE, TMV, SQQQ) to dampen losses. 5) The system also prunes low-liquidity or low-volume assets (e.g., TECS) and replaces components to maintain tradability. 6) The configuration can be tuned (different RSI windows, moving-average windows, asset sets) and can be set to K-1 free variants to simplify taxes. 7) The goal is to capture big upside with levered equity exposure when the regime is favorable, while reducing downside via hedges when regimes look risky.

Dynamic, levered momentum with hedges. Out-of-sample: ~41.8% annualized return vs SPY ~21.1%; stronger upside in favorable regimes with diversified risk-off hedges to dampen losses—though extreme-market drawdowns remain a risk.