A rule-based, momentum-driven strategy that mostly holds SPY and VGT, with a built-in risk-off mechanism using assets like UVXY, BIL, and PSQ to hedge during market stress. It uses RSI and trend checks to switch among exposures, rarely rebalances on a calendar schedule, and encodes a bear-market sub-portfolio for defensive positioning.

- Core idea: stay long the market with a tilt toward tech (SPY and VGT) most of the time. - Signals come from RSI, a momentum measure, computed on several ETFs with multiple look-back periods (often 5–60 days) and thresholds like 84, 81, 80, 67, 92, 90, 64. When these RSI signals exceed their thresholds for certain assets (e.g., UVXY, SPY, QQQ, VGT, BIL, PSQ), the strategy triggers a change in holdings. - Hedge/defensive layer: the rules use assets such as UVXY (volatility), BIL (short-term Treasuries as cash proxy), PSQ (inverse Nasdaq exposure), and occasionally other bonds or hedges, depending on which RSI condition is strongest. This is how risk-off can come into play. - Bear Market branch: there is a dedicated “Bear Market” grouping that assembles a defensive mix (e.g., BIL, SPY, VGT, PSQ) when risk signals are high, aiming to reduce drawdowns while trying to keep some equity exposure. - Top-N and selection logic: the rules sometimes select a single asset (top-1) based on RSI ranking to drive a specific hedge or allocation, rather than distributing evenly across many assets. - Trend checks: moving-average or price comparisons (e.g., current price vs. 200-day average, or price vs. moving average) are used to confirm longer-term trend direction before committing to or retreating from certain assets. - Rebalancing: stated as rebalance corridor width = 0.05 but rebalance = none, meaning the system is intended to be largely signal-driven with minor tolerance around target weights, rather than rebalancing on a fixed calendar schedule. - Outputs: the final portfolio is described with a weight and a color/label (e.g., Simple SPY/VGT (58/18)) and an asset list, reflecting the assets currently held. The exact weights shift with signals; the 58/18 tag indicates a target-ish split but is not a permanent rule. In practice, you’ll be mostly exposed to SPY and VGT, with occasional hedges and defensive assets added when signals indicate rising risk.

Out-of-sample, this rule-based strategy blends SPY/VGT with hedges to beat the S&P 500: Sharpe 1.25 vs 0.89, Calmar 4.55, annualized return ~79% vs 16%, and smaller drawdown (~17.5% vs 18.8%), with disciplined, low-turnover risk management.