A rule-based momentum switcher that rotates between hedged/defensive and leveraged equity baskets using RSI signals and a KMLM benchmark, with equal-weighted allocations and minimal rebalancing.

A rule-based system watches several ETFs and a benchmark (KMLM). It measures short-term price momentum (RSI) for these assets. If momentum passes high thresholds (about RSI 79 over 10 days) for certain assets, it builds an equal-weight basket from a predefined pool (including VIX-related hedges like VIXY/SVIX, short-term bonds like BIL, and equity plays such as SPY, SPY proxies, QQQ levers, and tech/semiconductor levers) and holds it with little rebalancing. If those signals aren’t triggered, it follows alternate basket rules, still using equal weights. The system uses a fixed rebalancing window (effectively none) and a small “corridor” to decide when to adjust. The aim is to ride momentum when conditions are favorable and switch to hedges when volatility rises, using KMLM as a yardstick in several branches.

Out-of-sample, this momentum-switch strategy targets ~47.6% annualized return vs ~21.6% for the S&P, with Calmar ~1.19. It offers higher upside with volatility hedges, though drawdowns may be larger (~40%).