Threshold-driven, relative-strength strategy: tilt between SPY and DBC, then pick assets (UVXY, UPRO, TQQQ, DBC, EFA/EEM, EWZ, TLT, SHY) based on momentum and recent returns to pursue medium risk/return.

Note: SPY is the SPDR S&P 500 ETF (broad US stocks). UVXY is a volatility-focused ETF (bets on market volatility). UPRO and TQQQ are leveraged ETFs (aim to multiply daily moves of SPY and Nasdaq respectively). DBC is a commodity index ETF. EFA and EEM are international stock ETFs (developed and emerging markets). EWZ is Brazil stock exposure. TLT is a long-term U.S. government bonds ETF, SHY is a short-term bonds ETF. How it works in plain terms: 1) The model first compares the long-term performance of SPY versus DBC. If SPY looks stronger, you follow the SPY path; if not, you follow the DBC path. 2) SPY-dominant path – you check if SPY shows positive momentum (SPY 100-day EMA above SPY 400-day EMA). 3) If SPY momentum is positive, you look at SPY’s short-term momentum via a 10-day RSI. If SPY is overb bought (RSI above 71), you tilt into UVXY (volatility exposure). 4) If SPY’s RSI is not that high, you look at SPY’s 5-day return. If SPY has fallen sharply in 5 days (less than -2.5%), you inspect the very next day’s return. If that day is strong (over +4%), tilt to UVXY; otherwise tilt to UPRO (a leveraged SPY bet). 5) If SPY’s 5-day return isn’t that negative, you compare UPRO vs TQQQ and pick the one with the weaker 8-day performance (lowest 8-day moving-average return) – this is a contrarian-ish tilt that seeks a rebound. 6) DBC-dominant path – if the commodity exposure shows positive momentum (DBC 100-day EMA above 400-day EMA), you go with DBC. If not, you choose the single asset with the best 60-day cumulative return among a set of international and bond assets (EFA, EEM, EWZ, TLT, SHY). 7) Asset mix includes broad US equities, volatility exposure, leveraged equity exposure, commodities, international equities, and bonds. The system rebalances only when a 5% drift threshold is crossed, not on every tick. 8) Overall, the strategy targets a middle-of-the-road risk/return by dynamically shifting among equities, volatility, commodities and bonds based on momentum signals and recent performance across multiple markets.

Out-of-sample Sharpe 1.32 vs SPY 1.12 and Calmar 1.26 signal stronger risk-adjusted performance. A dynamic, multi-asset momentum strategy across stocks, volatility, commodities and bonds aims for greater upside and diversified risk vs. the S&P 500.