A daily, rule-driven strategy that mostly sells volatility via SVXY but adds hedges (UVXY), leveraged equity bets (UPRO, SQQQ), and cash (BIL) to adapt to market conditions. It uses momentum and risk filters to decide when to stay in or pull back.

- What it tries to do: profit from periods when volatility stays low, while keeping a safety net for spikes. Aims to sell volatility (through SVXY) most of the time, but uses hedges (UVXY) and cash (BIL) to guard against sudden spikes. - How it decides what to own: daily, it runs a network of rules that split into two pathways. A smaller 20% path applies tighter, risk-controlled checks to keep you mostly in cash or mild exposures unless conditions are clearly favorable. The larger 80% path applies broader trend/momentum tests across several assets to build a more substantial mix. - Core ingredients: - SVXY (short volatility): the main position when volatility is low and the trend looks favorable. - UVXY (long volatility): a hedge used when signals suggest volatility may spike; used selectively. - SPY and UPRO (equities): provide equity exposure when market momentum is positive, including a levered tilt to capture stronger upside in a rising market. - SQQQ (levered inverse QQQ): used as a hedge or tilt in volatile/overbought conditions for tech-heavy markets. - BIL (cash): the safe, liquidity hedge used across branches when risk is high. - Signals and tests used: - Moving averages and exponential moving averages to gauge momentum (example: SVXY or SPY price relative to 50-day/200-day style measures). - Standard deviation of returns to measure recent risk (lower deviation supports long-vol/short-vol entries; higher deviation triggers caution). - Max drawdown over a lookback window as a risk gate (to avoid entering when the downside from recent peaks is already large). - RSI or momentum checks on related assets (e.g., SQQQ under a momentum threshold, or SPY when momentum is strong) to time hedges or equity tilts. - Thresholds and lookbacks are varied (windows like 2, 3, 50, 200 days) to capture both short-term momentum and longer-term trends. - How positions are sized: two main weight paths lead to different exposure levels, with an explicit 20/80 split that is applied within the decision logic. The hedge and cash steps ensure a portion of the portfolio remains liquid even when conditions deteriorate. - Rebalance frequency: daily, so the model can quickly adapt to shifting volatility regimes and price trends. - Risk caveats: uses levered ETFs (UPRO, SQQQ) and volatility products (SVXY, UVXY) which can amplify both gains and losses. The model tries to mitigate this with drawdown, volatility, and trend checks, but the strategy remains sensitive to volatility spikes and regime changes. - Overall: a structured, automated framework that blends volatility selling with tactical equity exposure and hedging, governed by a lattice of trend/risk rules and a cash reserve to navigate varied market regimes.

Out-of-sample, this strategy targets ~25% annualized returns with a Calmar ~1.04 and low beta ~0.39, outperforming the S&P 500’s ~15%. Daily, rule-based hedges (UVXY/SVXY) and cash buffers adapt to regimes and volatility.