A large, rules-based, diversified portfolio that blends equities, bonds, commodities, volatility, and futures using momentum and risk controls to decide what to hold, with out-of-sample testing and no fixed rebalancing.

Think of this as a collection of many small, independent rules. Each rule asks, “If this condition is met, invest in this asset,” and sometimes says “stay in cash” if not. Signals use simple ideas like momentum (has this asset been doing well lately?), trend versus a benchmark (is price above a moving average?), and strength (is this asset stronger than others?). The rules are grouped into modules (Short-term momentum, Safety, Long/Short Rotator, etc.). When a module signals, it assigns a weight (how much money to put into that asset) or selects the top assets to own. The system often picks a few best ideas and spreads risk by diversifying across stocks, bonds, commodities, and futures. There are risk checks baked in (e.g., drawdown and volatility considerations) and occasional switches to futures-based exposures (KMLM) to capture trends in broader markets. It’s designed to be tested on data not used to create it (out-of-sample) and to avoid heavy rebalancing on a fixed calendar. Overall, it’s a big, rules-driven mosaic intended to balance upside potential with risk controls across many market regimes. Key ideas in plain terms: use momentum/strength signals to choose assets, diversify across asset classes, and apply checks to avoid big losses. The “KMLM switcher” adds a trend-following futures tilt when conditions look favorable. The “OOS” tag and size limits indicate a rigorously tested, but complex, model rather than a simple buy-and-hold plan.

Out-of-sample, this diversified, rule-based strategy targets momentum with risk controls to deliver ~43.8% annualized return and Calmar ~0.98, vs SPY ~18.8%.