A daily-rebalanced, rule-based multi-asset momentum strategy that rotates SPY exposure with hedges into bonds, gold, and select international proxies based on short- and long-horizon momentum/trend signals, with a wash-sale-aware framework and a final emphasis on equities.

This is a rule-based rotation system. It mostly starts with SPY (the S&P 500 ETF) as the main equity exposure. For each other asset class (bonds, gold, emerging markets, etc.), it checks whether that asset has stronger momentum or a clearer uptrend than SPY using simple measures you can think of as “recent strength” and “trend direction.” Specifically, it looks at short-term strength (a momentum score similar to RSI over a small window) and long-term price trends (price versus moving averages over longer windows). If a set of conditions is true, the system assigns the full weight to that asset (or to a group of assets under a scenario). Because there are many branches (bonds, gold, emerging markets, mid-cap or international proxies, and inverse/leveraged versions), the final allocation is a composite result of several conditional paths rather than a single simple rule. The final block shows an emphasis on equities, with daily rebalancing, and a final comparison group labeled as focusing on EQT/COM/EM/BND ingredients, which means it compares equities to bonds and other asset classes across multiple scenarios to decide the daily equity exposure. The model also includes a “wash sale” element, indicating adjustments to respect tax-loss rules when harvests could trigger a wash sale. In short: on each day, the model asks: which basket (SPY, bonds, gold, or emerging markets) currently shows stronger momentum and trend? It then tilts toward that basket, mostly favoring equities overall, but with hedges and leg exposure to bonds and gold when signals are weaker or contradictory. Important caveats for a layperson: the signals come from statistical-looking rules (momentum and trend checks), not from a simple predictor like “buy when price rises.” In flat or choppy markets these rules can lead to frequent shifts and potentially higher trading costs; during strong regimes they aim to capture leadership in the chosen asset class while reducing exposure to weaker ones. End state: a daily-rebalanced, multi-asset exposure focused on SPY with optional allocations to bond and commodity proxies, designed to rotate into the asset class showing the strongest recent performance while respecting tax rules.

Out-of-sample edge: higher risk-adjusted returns and diversification. Annualized return ~69% vs ~35% for the S&P, Sharpe ~3.44 vs 2.68, and beta ~0.40—lower market exposure with strong downside control (Calmar ~12.38).