A big, rules-based mix of momentum- and trend-following mini-strategies across equities, sectors, bonds, gold, and hedges. It rotates into top-qualified assets within many groups, uses equal or specified weights inside groups, and includes hedges (like VIX-related plays) to curb drawdowns. The KMLM switcher indicates a managed-futures tilt at times. Overall, it aims to be diversified, out-of-sample tested, and risk-aware rather than concentrated in a few stocks.

- The system is built as a hierarchy of groups. Each group is a mini-strategy that looks at a list of assets (stocks, ETFs, and some leveraged/inverse or alternative exposures). - For each asset, the strategy checks momentum and trend indicators. The most common indicators are: - Relative Strength Index (RSI): compares recent performance to identify whether an asset is showing strong momentum (overbought) or weak momentum (oversold). The windows used are brief (like 10 or 20 days) to capture shorter-term momentum. - Moving-average-based measures: compares current price or recent returns to moving averages over various windows (e.g., 20, 60, 200 days) to gauge whether the trend is up or down. - Price relative to longer-term averages (e.g., current price vs 200-day or 360-day average) to gauge long-term trend alignment. - Within a group, the assets that pass the signals are ranked (top/bottom) using the chosen metric (e.g., moving-average return, RSI, or price performance). A subset of assets is then selected (for example, top 1, top 2, or bottom 1) and given a weight; many blocks use 100% weight to the selected assets, effectively creating a basket from the pass-filtered universe. - Each group also defines how to allocate capital inside it. A common rule is “wt-cash-equal” or a fixed weight distribution, which means the chosen assets in that group receive equal or specified shares from that group’s allocated portion. - The entire portfolio is composed of many such groups. Some groups are core momentum themes (longs/shorts on levered ETFs), others are hedged/balanced (including Treasuries, gold, and cash-like ETFs), and there are specialized groups (for example, a KMLM-based switcher that rotates into a managed-futures exposure depending on signals). - There are risk-control elements: some branches gate exposure into hedges (e.g., VIX-related funds when risk indicators exceed thresholds), and some branches steer into cash-equivalents (short-term Treasuries, or BIL) if risk checks fail. There are mentions of “Safety” groups that favor protective assets (GLD, IEF, UUP, TMF) when broader risk is detected. - The end result is a large, diversified portfolio that rotates among many ideas rather than chasing a single signal. It relies on a mix of momentum/trend factors, hedges to damp drawdowns, and a fairly saturated asset universe to avoid concentration risk. The structure also appears to emphasize robustness by design (OOS, size limit) to avoid overfitting. - Important caveats for a layperson: this is not a simple buy-and-hold plan focused on a handful of famous stocks. It trades or holds a variety of ETFs (including leverage and inverse products) and uses complex conditional logic to decide what to own when. Real-world implementation requires reliable data feeds, careful cost/fee considerations, and strict execution discipline; levered and inverse ETFs can incur compounding effects and higher turnover costs, and hedging instruments may not perfectly offset risk in all market regimes.

Multi-asset, rules-based momentum/rotation with hedges. Out-of-sample annualized return ~42.8% vs S&P ~18.5%, diversified across assets to reduce risk, with drawdowns managed by hedges—though occasional larger pullbacks can occur.