A six-bucket, rule-based momentum portfolio that bets on trend-following exposure to commodities (DBC), gold (GLD), mid/high-grade Treasuries (IEF, TLT), and U.S. stocks (SPY/QQQ), with safe-haven switches to SHV/cash when momentum weakens. It’s designed to ride uptrends and protect against downturns using simple moving-average and RSI checks, with some bear-market guards.

The strategy splits the portfolio into six main momentum buckets: Commodities, Gold, Mid-duration Treasuries, Long Treasuries, Broad U.S. stocks, and Nasdaq exposure. Each bucket has a target weight and a rule to pick an asset or switch to a safe alternative. For example, the Commodities bucket looks at the DBC ETF: if its short-term price trend is higher than its longer-term trend, you allocate to DBC; otherwise you switch to SHV (a short-term Treasury). The Gold bucket uses GLD in the same trend-following way. The Treasuries buckets compare longer-term price momentum (or RSI signals) to decide between the ETF (IEF, TLT, or SHY for the shorter end) and a safer fallback. The SPY bucket uses SPY as the base, but there are conditional rules to tilt toward Nasdaq-focused ETFs (like QQQ) or hedged positions (PSQ, QLD, QID) if momentum signals support it, and a long-running rule that looks at QQQ since 2007. There are also protection rules designed for bear markets (e.g., a “Bear Market Sideways Protection” module) to reduce exposure when markets are in a sideways or down regime. In plain terms: if an asset in a bucket looks like it’s rising, you own it for that bucket; if not, you switch to a safer asset (SHV or cash) for that bucket. The overall rebalance is not fixed; decisions are driven by the signals above, and the weights are applied to each bucket’s asset choice. The approach emphasizes simplicity (trend signals) but layers several signals per asset class to reflect their typical behavior in different market environments. The backtest period (to 2007-11-01) means the rules were evaluated across major cycles, including the 2008 crisis, which informs how conservative the safety legs are in practice. Overall, the aim is to provide a diversified, rules-based, momentum-driven allocation that tries to ride trends while keeping a safety cushion.

Diversified momentum strategy with bear-market guards delivering better risk-adjusted returns and far lower drawdowns than the S&P: out-of-sample Sharpe 1.76 vs 1.44, Calmar 1.95, max drawdown 9.65% vs 18.76%, ~18.84% annualized (SPY ~22.88%).