A daily-rebalanced, rule-based, multi-asset strategy that blends momentum/trend signals with hedging across stocks, bonds, energy/commodities, and volatility ETFs. It uses MPT to weight assets, aims to ride trends while protecting against downturns, and includes numerous risk-control and diversification features.

The system runs a daily check of many signals across a large set of ETFs. For each asset, it looks at price levels, how price has moved recently, and momentum indicators. Depending on these signals, it groups assets into blocks (for example, a bond block, an energy/block, a volatility hedge block, and several themed risk-off/risk-on blocks). It then screens and selects top or bottom performers within those blocks. Using Modern Portfolio Theory, it assigns weights to the selected assets to build a balanced, diversified mix aimed at maximizing return for a given risk level while keeping a 100% total allocation. If risk signals rise (e.g., volatility spikes or market breadth weakens), the model increases hedges (via UVXY, SVXY, or other volatility/bond instruments) and reduces exposure to riskier assets. The setup is explicitly designed to be daily-rebalanced, re-optimizing weights as signals change, and it includes many nested conditional tests to switch between aggressive, defensive, and hedged stances as markets evolve.

Out-of-sample edge: annualized return 27.3% vs SPY 20.1%; Sharpe 1.31 vs 1.12; max drawdown 15.6% vs 18.8%; beta 0.77; Calmar 1.75. Diversified, hedged, trend-driven strategy.