A rule-based system that starts in cash and uses RSI momentum checks across a broad ETF basket to trigger UVXY (volatility hedge) or, if not triggered, uses bond signals and a mean-reversion framework to tilt toward leveraged Nasdaq exposure (TQQQ); no automatic rebalancing.

What you’re seeing is a ladder of if-then rules that decide where to put your money. It starts with 100% cash. It then checks multiple quick momentum tests (RSI over the last 10 days) on a broad set of ETFs. If any of those tests show extreme overbought readings (RSI > 79) for a given ticker, the strategy jumps into UVXY (volatility hedge). If none of the RSI checks fire, it proceeds through additional checks that look at: a 25-day moving relationship between prices (a simple trend check), bond vs stock strength, and a “Normal market” vs “Bond-heavy” mindset. There’s also a special block labeled “BlackSwan MeanRev BondSignal” that nudges the system toward a mean-reversion/bond-light or bond-heavy posture depending on risk signals. The final default tilt tends to lean toward TQQQ (a 3x leveraged Nasdaq exposure) when the conditions suggest a risk-on, momentum-driven run, but always through the gate of bond risk checks. In short: extreme momentum in several ETFs can trigger UVXY; otherwise, the system uses a mix of mean-reversion and bond-strength checks to decide whether to lean into aggressive Nasdaq upside (TQQQ) or stay more defensive. Rebalancing is disabled in this configuration, so the allocation is determined at setup/run time rather than continuously adjusted. Note: UVXY is a volatile instrument that tends to decay over time without a volatility spike, and leveraged ETFs like TQQQ amplify both gains and losses, so this approach carries high risk and requires careful risk management and backtesting.

Out-of-sample upside with stronger risk-adjusted returns: ~66% annualized vs ~17% for the S&P, Sharpe ~1.09 vs ~0.98, Calmar ~1.67. Uses a momentum hedge (UVXY) and a Nasdaq tilt (TQQQ) with disciplined risk controls—higher drawdown risk.