A regime-based, rule-driven, multi-asset strategy that shifts between Risk On and Risk Off using short-term momentum, volatility, and trend signals. It selects from a K-1 free ETF universe, prioritizing diversification across bonds, currencies, commodities, and equities, with no automatic rebalancing and selective cash weightings.

- The model first checks a simple macro condition: is the 56-day cumulative return of the broad-bonds ETF (BND) positive? If yes, it enters a Risk On branch; if no, it goes to Risk Off. - In Risk On, the strategy splits into sub-paths that aim to balance growth potential with safety nets. One path looks for up to four of a small set of relatively safe-but-flexible assets (SHY, BTAL, HDGE, PDBC, USDU) using a short-term momentum screen (higher RSI over a 5-day window) and keeps them with a blended weighting. Another path seeks lower-volatility names by screening a larger pool of equity-and-alternative ETFs on price volatility (standard deviation over a long window, ~150 days) and then blends in specific hedged or tactical positions (e.g., short-term semis exposure, treasury exposures) with selective bottom-up filtering. A separate sub-path may include leveraged or inverse proxies (e.g., SOXL/SOXS) for tactical risk-on leverage, but still governed by the same selection logic and weighting rules. - In Risk Off, the regime is split into Rising Rates and Falling Rates and uses different asset baskets: - Risk Off, Rising Rates: emphasize USD exposure and currency hedges (USDU, FXY, HEFA, HEZU) and a second tier of hedged/buffered assets, selected top-2 by a volatility/standard-deviation screen; the intent is to benefit from USD strength and currency hedging when rates rise. - Risk Off, Falling Rates: emphasize safe-haven and defensive exposures (USDU, BTAL, XLP, TMF, TLT, XLY, XLU, FAZ, etc.) with a mix that tends to perform relatively better when rates fall and risk aversion rises. - Within each regime, assets are ranked and selected using a combination of signals (relative strength, moving-average comparison, volatility measures, and maximum drawdown). The system often uses either the top or bottom N assets from a pool, with cash weighting applied (e.g., 75/100 or 25/100). The design favors a diversified basket across asset classes while prioritizing momentum and lower volatility when selecting assets. - The lookback horizon is relatively short for signals (days to weeks) but can incorporate longer volatility windows (e.g., 150 days) to identify low-volatility assets in a given regime. The overall lookback window is stated as 14 days for the combined decision, with other windows feeding the signals. - Tax/tax-form consideration: “K-1 Free” labeling signals avoidance of funds that issue K-1 forms, simplifying tax reporting. This constrains asset choice to no-K-1 funds where possible. - Rebalancing is set to none, implying the portfolio remains in place unless the rule set explicitly changes exposure due to regime shifts or rank changes, effectively creating a conditional drift rather than a periodic rebalancing cadence.

Regime-driven, multi-asset strategy with out-of-sample downside protection: drawdown 13.6% vs 18.8% SPY, Calmar ~0.64, plus diversification, low turnover, K-1 free, and no rebalancing—steadier, risk-controlled growth vs the S&P 500.