A daily, rule-based momentum strategy over a broad ETF universe that selects one asset (often levered equity or a hedge) to own 100% of the portfolio. It uses RSI/momentum signals and risk rules to ride uptrends and shift to hedges/bonds in risk environments, with two parallel logic paths feeding the same endgame.

- Universe: The strategy watches a broad mix of ETFs, including major equity ETFs (SPY, QQQ, TQQQ, UPRO, SPXL, SPXU, SDS, SQQQ, TECL, SPLV, etc.), volatility hedges (VIXY, UVXY, SVXY, SPXU hedges), bonds and cash proxies (TMF, TMV, HYG, SHV, SHV, IEF, TLT, IEF, IEF, BIL), gold (GLD), and other fixed income proxies. This is a large, diversified, but equity-focused set, with some hedging and bond exposure meant to dampen risk. - Signals: The core signals come from RSI (Relative Strength Index) calculated over various windows (e.g., 10 days, 60 days, 20 days, 100 days) and momentum measures like cumulative returns over recent periods. RSI is a momentum gauge: high RSI suggests recent strength (possibly overbought), low RSI suggests weakness. The system applies many “If” tests that compare RSI values, price momentum, and moving-average-ish checks to decide which bucket you belong to (e.g., Bull 1, Bull 2, Sometimes Equities, Bear groups). - Grouping and endgame: Assets are organized into groups with themes like “Bull 1,” “Bull 2,” “Sometimes Equities,” “Market Games,” and “Bear” variants. Within each group, the model computes momentum/rankings (often top or bottom by cumulative return over a short window) and then picks the top asset (select-n = 1) to own. - Allocation: The chosen asset gets 100% of the capital, the rest receive 0%. This is a classic “all-in on the best signal” momentum approach, but within a broad universe and many guardrails. - Risk controls: The structure encodes risk checks such as standard deviation and max drawdown (e.g., standard-deviation-return with a 252-day window, max-drawdown checks on a 10-day/60- or 200-day frame). If the risk metrics exceed thresholds, the system triggers defensive moves or shifts toward less risky assets (bonds, cash proxies, or volatility hedges). - Rebalance: Daily, though many signals rely on windows of 10–60–200+ days for momentum and RSI, which creates a dynamic, regime-aware tilt that adapts each day. - Endgame hedges: The logic includes hedging layers (e.g., VIXY, UVXY, SPXU, SQQQ) and “Bear” portfolios that use inverse or hedged ETF pairs to mitigate drawdowns in stress periods. - Practical takeaway: In a strong uptrend, expect top momentum assets such as levered equity ETFs (e.g., TQQQ, SPXL, UPRO) to be selected. In stressful markets, risk signals push the system toward hedges and/or bonds/cash. The result is a highly proactive, regime-aware, all-in-one approach that aims to capture upside while layering risk controls to guard against big drawdowns.

Regime-aware momentum strategy across a broad ETF universe. Daily top-asset picks with built-in hedges/bonds for risk management. Out-of-sample: ~12.9% annualized return, Sharpe ~0.60, beta ~0.78, diversifies beyond the S&P 500.