A rule-based, regime-aware rotation across commodities/USD, broad equities, bonds, and hedges. It blends momentum signals (RSI, moving averages) with drawdown checks to tilt between growth exposure and hedges, aiming to balance upside capture with downside protection using a diversified, leveraged/defensive toolkit.

What this strategy does in plain language: - It keeps a big catalog of ETFs (commodities, currencies, gold/silver, broad market, bonds, and volatility hedges). Each ETF belongs to a group representing a market idea (commodities, broad market, bonds, safety, etc.). - For each group, the system uses simple signals to decide whether that group should be leaned into today. Core signals are momentum and trend indicators (think of them as “is this asset catching an upward ride?”) and risk signals (how much has an asset fallen recently, or how volatile is it). The signals are implemented with indicators like RSI (measures recent gains vs. losses) and moving-average comparisons, plus some absolute thresholds for drawdowns. - If a group’s signals look favorable, the system assigns weights to the assets in that group; if not, it reduces or removes them. The weights come from “top” or “bottom” selections (e.g., pick the best two bonds in a list, or the bottom one asset by a measure) and from evenly spreading weight within blocks, depending on the exact rule in each node. - There is a focus on regime behavior: when the market appears bullish, the model might tilt toward growth/commodity exposure and limit hedges; when volatility spikes or the market looks stressed, hedging assets (like UVXY, VIX-related funds, and BTAL) get more attention, and safe assets (GLD, certain bonds) become more prominent. - The system also has explicit safety nets: some blocks push gold, defensive consumer staples, and USD exposure as ballast; others push hedges to reduce drawdowns during stress. The end result is a mix intended to balance upside opportunities with protection against sharp drops. - The overall balance constraint (a corridor) implies the model aims to avoid too rapid rebalancing and to keep exposure changes within a modest band, reducing turnover but allowing regime-aware tilts. - In short: it’s a structured, rule-based rotation across a broad set of assets designed to chase momentum in commodities and USD while staying prepared with hedges and safer assets when volatility and drawdowns rise. It requires careful monitoring because leveraged and inverse ETFs can amplify losses and exhibit non-intuitive behavior in fast markets.

Out-of-sample edge: Sharpe 1.66 vs 1.44, return 23.36% vs 22.99%, Calmar 2.14, max drawdown 10.9% vs 18.8%. Diversified regime-rotation with hedges aims for stronger, steadier growth than the S&P 500.