A rules-based momentum strategy that toggles between a leveraged S&P 500 bet (UPRO) and a small set of safer assets (TIP, IEI, UUP, DBC, GLD) using long-term momentum, volatility, and short-term RSI/EMA signals. It aims to ride uptrends with leverage and shift to safer bets when signals weaken.

Here’s the idea in plain terms: - The strategy starts by asking, “Should I gamble a lot on the stock market today, or shift to safer bets?” - If the long-term momentum of the market looks strong (measured by comparing how SPY and some commodity/alternative benchmark have performed over different long windows), it buys a levered S&P 500 ETF called UPRO (this aims to magnify stock gains when the market is rising). - If that signal isn’t strong, it instead looks for the single best asset among a small set of safer options: TIP (inflation-protected bonds), IEI (short-to-intermediate Treasury bonds), UUP (bet on a stronger dollar), DBC (a mix of commodities), or GLD (gold). It ranks these by very short-term momentum and picks the top one. - There are additional checks that like to see whether volatility has cooled (recent moves are less wild than usual) before leaning into stocks, and separate checks using simple indicators that tell if stocks are currently overbought or not (RSI) and whether the market momentum is positive (a MACD-like check using two moving averages). - There are also guardrails to consider a hedge (short S&P 500, SH) or to favor 2 assets from the sandbox when certain signals point to risk-off conditions. - The approach relies on a mix of long windows (months-long momentum) and short windows (7–14 days) to decide whether to risk with leverage or move into safer assets. - Importantly, this is a rule-based, no-guesswork system: it doesn’t rely on a fixed calendar rebalancing; instead, it switches when a signal line up or a condition is met. What you’d actually see is: on some days you’d be mostly invested in UPRO (aiming for big stock gains if the signal is strong), and on other days you’d be allocations to one or two of TIP, IEI, UUP, DBC, or GLD (to balance risk and seek steadier performance). In edge cases, the system may hold cash or even hedge by shorting the S&P 500 (SH) depending on the indicators.

Out-of-sample edge: levered equity in strong trends with rapid safety shifts. OOS return ~34.1% vs SPY ~23.9%; Sharpe ~1.03; Calmar ~1.12. Higher upside with disciplined risk management; drawdowns can be larger in downturns.