A cash-based, daily-rebalanced, multi-step screen that picks one asset using momentum and risk filters, then buys only that asset (100% of the equity sleeve). In bear markets, it swaps into cash to protect against losses.

- Start with cash as the baseline (cash-equal weighting). - In the example, consider one asset: the ProShares UltraPro QQQ (TQQQ), a Nasdaq-100 leveraged ETF. - Step 1: Find the top 3 assets (from the candidate pool) based on momentum over the last 20 days. Here, momentum means the asset’s price has risen on average during that period. - Step 2: From those 3, pick the top 2 based on how much they have gained in total over the last 10 days (short-term performance). - Step 3: From those 2, choose the one that has shown the smallest drop from its recent high over the last 50 days (risk control: lower max drawdown). - Step 4: Allocate 100% of the equity portion to that single asset (i.e., hold that asset fully). - Rebalance daily, updating the choice and the allocation accordingly. - Bear-market rule: If conditions indicate a bear market or high risk of losses, swap all holdings into this defensive setup (essentially move into cash/equivalent rather than staying in a risky asset). - Asset class exposure: equities. The example uses a leveraged ETF for the screening, but in practice you’d select from a broader set of tickers. - The end result is a single-asset, in-and-out style approach with daily checks designed to prevent losses in downturns.

Out-of-sample edge: ~34% annualized return vs ~16% for the S&P, via a momentum-driven, bear-market protected, daily-rebalanced single-asset approach. Built-in cash defense limits downturn losses while pursuing strong upside.