A daily, rule-based volatility-and-momentum strategy using SPY and UVXY signals to tilt among UVXY, SOXL/TECL/TMF/UPRO, and cash (BIL). It combines short- and mid-term RSI checks with event-tuned logic to chase volatility moves while hedging with cash when risk looks high.

What the strategy is trying to do, in plain language: 1) RSI is a way to gauge momentum. Higher RSI means a price rally has been strong lately; very high values can signal overbought conditions. Lower RSI can signal weakness. The strategy uses several RSI windows (10 days, 17 days, 21 days) to judge short-term and longer-term momentum. 2) The strategy looks at SPY (the broad market). If SPY’s 10-day RSI is below 30, the market is considered very oversold. In that case, the system searches a small set of leveraged ETFs – SOXL (3x semiconductors), TECL (3x technology), TMF (3x long Treasuries), and UPRO (3x S&P 500) – and picks the one with the lowest 17-day RSI, i.e., the one showing the weakest momentum relative to the other candidates. This is a contrarian tilt intended to catch a rebound in the strongest near-term mover among those options. The exact asset chosen is determined by nested checks that also look at UVXY’s own momentum and a few conditional thresholds. 3) UVXY momentum checks act like a hedge/trigger. If UVXY’s RSI over a 10-day window exceeds certain high thresholds (around 74–84), the system may tilt toward UVXY or into cash (via BIL) depending on the exact condition. In other words, when volatility looks very strong (or overbought in the UVXY sense), the system caves toward a cash-like position to protect capital or switches to UVXY if still warranted by other rules. 4) The second signal path, “Ease Up on the Gas V2a,” is a de-risking companion. It watches UVXY’s momentum with a 21-day window and, if UVXY momentum is strong enough (RSI > around 65), it may move money into BIL (short-term Treasuries) while still allowing UVXY exposure as conditions permit. There are extra nested checks around 10-day UVXY RSI levels (e.g., >74 or >84) that influence whether to tilt toward UVXY or toward BIL. 5) The system is designed to rebalance daily, keeping a cash-equivalent weight and dynamically shifting among UVXY, the leveraged equity/treasury ETFs, and BIL. The intent is to capture volatility-driven moves around the event date while limiting drawdown when signals are extreme. 6) This is a highly tactical, multi-step framework rather than a simple buy-and-hold approach. It relies on historical RSI thresholds and a specific event context, so it should be understood as a high-risk, conditional strategy rather than a low-risk, long-term allocation.

Out-of-sample, this strategy shows superior risk-adjusted returns versus the S&P 500: Sharpe ≈2.10 vs 1.27, max drawdown ≈2.5% vs 18.8%, annualized return ≈36% vs 23%, with a low beta ≈0.30.