A simple, rule-based tactical plan: if UVXY momentum suggests calm volatility, buy UPRO (3x SPX). If not, check SPY’s 5-day performance; if SPY hasn’t dropped much, move to SHY (bonds); else hold SPY. All-or-nothing allocations with no regular rebalances.

- Step 1: Assess UVXY momentum. If UVXY’s longer-term momentum (32 days) is higher than its very short-term momentum (4 days), the strategy buys UPRO (3x S&P 500). - Step 2: If the UVXY condition isn’t met, assess SPY’s last 5 days. If SPY hasn’t fallen more than about 2% in that window, move into SHY (short-term Treasuries) to reduce risk. - Step 3: If SPY has fallen more than 2% in the last 5 days, stay in SPY (no levered play). - Position sizing appears to be all-in on the chosen asset for the triggering branch; there’s no regular rebalancing, and a small corridor width is specified but rebalancing is set to none. - The assets used are UPRO (high-risk levered equity), SHY (low-risk bonds), and SPY (core market exposure). The intent is to ride a calm-volatility regime with amplified equity exposure, or otherwise favor safer or broad-market exposure depending on short-term SPY performance.

Out-of-sample annualized return ~55% vs SPY ~23%; Sharpe ~1.52 vs 1.37; Calmar ~1.87. Higher risk-adjusted upside in calm-volatility regimes, with higher drawdown risk than SPY.