A cautious, momentum-based hedge strategy that mostly sits in cash, and only moves into volatility-based hedges (UVXY, potentially VIXM) when multiple assets show extreme momentum (RSI > 79). It includes risk checks to avoid over-hedging and may switch hedges if a market tone suggests rising volatility (e.g., after an 8-day SPY win streak).

- The system runs a series of tests on several broad-market and sector ETFs using a momentum measure called the Relative Strength Index (RSI) over the last 10 trading days. RSI is a gauge of how strong recent gains are; values near 100 imply very strong up-moves. In this strategy, an RSI value greater than 79 is treated as an extreme, overbought condition. - If any of a large list of assets (such as QQQE, VTV, VOX, TECL, TQQQ, XLP, SPY and others) has RSI(10) > 79, the strategy prioritizes putting money into UVXY (a volatility hedging instrument). Think of UVXY as a tool that tends to rise when market volatility spikes. The code shows a pattern where a 100% allocation to UVXY is triggered under several of these RSI conditions. - If the RSI condition fires for many assets or if the hedging condition is activated, the system uses a cash-equal weight approach to allocate; effectively it puts full emphasis on the hedge (UVXY) when the signal fires. - There are additional guardrails that compare recent performance or risk between UVXY and the broader market (SPY). If the hedge’s drawdown characteristics look unfavorable relative to SPY (e.g., a max drawdown check over a short window), the system routes to other hedges (VIXM) or refrains from taking on the hedge. One explicit rule mentions an 8-day SPY winning streak potentially steering the allocation toward VIXM, which ties a market tone signal to a different volatility instrument. - There is a substitution note: BIL (a short-term Treasury ETF) is described as being replaced by the main strategy, meaning the “cash-like” position is informed by the strategy’s own risk signals rather than a simple cash proxy. - In summary, the default stance is cash or cash-like; the system only enters volatility hedges when several momentum signals reach extreme levels, and it uses drawdown/risk comparisons to avoid over-hedging or counterproductive moves.

Out-of-sample edge: annualized return ~19.35% vs SPY ~18.75%, positive alpha, and Calmar ~0.97. A cash-first, momentum-hedging system activates volatility hedges only on extreme signals, offering upside with risk discipline.