A daily equal-weighted strategy between SPY and QQQ that tactically tilts into UVXY (volatility) when UVXY shows strong relative momentum across multiple lookback windows; otherwise it stays with SPY or QQQ. Uses a cascade of RSI-based tests (windows 3–30) with window-specific thresholds to decide whether to switch to UVXY.

- The portfolio starts with equal cash allocated to SPY (S&P 500) and QQQ (Nasdaq-100). - For each side, the strategy runs a series of tests that compare the momentum of UVXY to the stock ETF over different lookback periods (3, 4, 5, ..., up to 30 days). - Momentum is measured using a Relative Strength Index (RSI) calculation. In simple terms, RSI checks whether UVXY has been moving up more strongly than the stock ETF over a given window. - Each window has its own threshold value. If the RSI for UVXY beats the threshold for that window, the strategy chooses UVXY as the asset for that side; otherwise it stays with the plain stock ETF. - The checks are set up as a cascade: start with the 3-day window, then 4-day, and so on. The first window that triggers a UVXY tilt determines the asset (UVXY) for that side; if none trigger, the default remains the stock ETF (SPY or QQQ). - This creates a daily rebalanced, tilt-based allocation: either you hold UVXY or you hold SPY (on the SPY side) and UVXY or QQQ (on the QQQ side), with equal initial cash weighting between sides. - The strategy exposes you to both broad market risk (via SPY and QQQ) and volatility risk (via UVXY). It tends to tilt toward UVXY when UVXY shows strong relative momentum, otherwise it stays with the broad-market ETFs. - Note: UVXY is a volatility instrument that can behave very differently from SPY/QQQ and can be risky, especially with leverage and daily rebalancing.

Out-of-sample edge: ~21.8% annualized return vs SPY ~14.2%, stronger risk-adjusted Sharpe (~1.05 vs ~0.80) and Calmar (~1.05). Daily rule-based tilt between SPY/QQQ and UVXY captures volatility bursts with broad exposure.