A daily, volatility-focused long/short strategy using SPY momentum to tilt among volatility ETFs, anti-beta hedges, and select diversifiers for low correlation to the stock market.

- The system rebalance happens daily and is driven by SPY momentum signals. - It uses SPY’s short-term RSI as the primary gate: if SPY RSI(5) < 35, it leans into volatility hedges and related instruments; if other thresholds are met (e.g., SPY RSI(10) > 65), it shifts to different hedging/volatility exposures. - Asset pool includes SVIX (inverse VIX exposure), UVXY/VXX/VIXM/VXZ (various VIX futures vehicles) for volatility bets, BTAL (anti-beta hedge), cash proxies (BIL, SHV), and diversifiers (GLD, XLE, COM). - Within each regime, assets are ranked or filtered using simple screens: moving-average returns, recent price vs SPY, and short-term momentum (RSI). The bottom/top performers are shortlisted; some blocks apply equal cash weights while others tilt toward hedges (e.g., BTAL) or diversifiers. - Weights are applied in predefined blocks (e.g., cash-equal blocks and BTAL-heavy hedging sleeve) to maintain a disciplined risk profile. - The strategy emphasizes volatility exposure with anti-beta tilts, aiming for low correlation to SPY and the broader market while attempting to preserve capital through drawdowns.

Compelling volatility-tilted strategy with low beta and strong OOS results. OOS Sharpe ~1.40 vs SPY ~1.36; OOS annualized return ~54.7% vs ~22.3%; Calmar ~2.69; offers diversification and upside with less market beta than the S&P 500.