A multi-layer momentum and mean-reversion system that uses RSI sorting, SPY as market guide, dip-buying in down moves, USD/Gold filters for shorts, and VIX hedges to enhance returns and reduce drawdown.

RSI is a momentum gauge (higher means stronger recent gains). The system ranks candidates by RSI at each decision point and uses SPY as the market-health barometer. It builds two paths: (1) Longs when conditions favor upward moves, selecting top RSI-ranked assets and applying filters (e.g., moving-average rules) to keep exposure reasonable. (2) Shorts in weaker conditions or when dips fail to hold, triggering SQQQ and related hedges. “Buy the dips” means buying small, short-term pullbacks in the bearish leg, expecting rebounds. When shorting, it also checks USD strength (UUP) and gold (UGL) signals to avoid fighting broad macro moves. A VIX-based anti-beta module provides hedging to reduce drawdown in volatile environments, aiming to raise risk-adjusted returns. The approach uses a curated mix of ETFs (including familiar names and less-common vehicles) and applies top/bottom sorting, filter steps, and return-based thresholds to determine entries and exits.

Out-of-sample edge: higher risk-adjusted returns and bigger upside vs SPY. Sharpe ~1.35 vs 1.32; annualized return ~80% vs ~21%; Calmar ~1.97. A disciplined, hedged momentum/mean-reversion strategy designed to beat SPY.