A two-tier volatility gate selects one asset (UPRO, TQQQ, or IEF) based on RSI momentum when SPY is calm; if volatility rises, it shifts toward SHY/IEF. No fixed rebalances; trades occur only when signals fire, with a 5% move threshold and a cash-like weighting.

- The system looks at SPY’s recent 21-day returns to estimate volatility (standard deviation). It has two gates: gate A (volatility < 1) and gate B (volatility < 2). - If gate A is true, it considers three assets (UPRO, TQQQ, IEF), sorts them by a momentum measure using RSI over the last 21 days, and picks the one with the lowest RSI (the “bottom” of the RSI ranking). If there’s a candidate, it goes long that asset. - If gate A is false but gate B is true, it repeats the same three-asset RSI sort and picks the bottom RSI asset to go long. - If neither gate condition is met (volatility too high), it instead allocates to a cash-like or safer bond position (SHY in one branch, or IEF in another, as specified). - The portfolio weightings are described as “wt-cash-equal,” suggesting a baseline of cash-like exposure balanced with the chosen asset, but the system does not rebalance on a fixed schedule (rebalance: none). The 0.05 corridor width means trades or weight changes only occur if price moves exceed roughly 5%. - The strategy uses SPY as the risk proxy and the three assets (UPRO, TQQQ, IEF) as the main growth vehicles when risk is contained, with SHY/IEF as safe-haven alternatives when risk climbs.

Out-of-sample edge: ~36.8% annualized return vs ~22.2% for SPY, with a volatility gate that shifts to safer assets when risk rises. Sharpe ~1.20, Calmar ~0.93 - more upside than SPY with disciplined risk and low turnover.