A daily, RSI(2)-driven, trend-filtered tactical allocation between TMF (long Treasuries, 3x), TMV (inverse), and a SPY/GLD volatility hedge, with a 100-day trend check and extreme-momentum thresholds (RSI < 20, RSI > 90) to time entries/exits.

The strategy rebalances every day between TMF (long 20+ year Treasuries, 3x), TMV (opposite 3x), and a volatility hedge made from SPY and GLD. First, it checks if TMF is in an uptrend by comparing its price to its 100-day moving average. If TMF is above the 100-day line (uptrend), it then uses a very fast momentum rule on TMF (RSI with a 2-day window). - If TMF looks very oversold (RSI < 20), put all money into TMF (expect a bounce). - If TMF looks very overbought (RSI > 90), switch all money to TMV (bear exposure) to avoid a likely pullback. If neither condition is met, the system keeps the capital in cash. If TMF is not in an uptrend (price below or at the 100-day line), the system behaves differently: - If TMF RSI is very overbought (RSI > 90), put all money into TMV. - Otherwise, move money into a volatility hedge using SPY and GLD (split across SPY and GLD) for about 30 days to reduce risk from broader market volatility. The result is a daily, signal-driven path between a bullish TMF tilt, a bearish TMV tilt, or a hedged cash-like posture with SPY/GLD, depending on TMF’s price trend and very short-term momentum.

Out-of-sample, this RSI-2 TMF strategy targets ~21.2% annualized return with ~13.3% max drawdown vs SPY’s ~18.8%; Sharpe ~0.99 and Calmar ~1.59—delivering higher risk-adjusted gains with built-in hedging.