A flexible, long/short multi-asset strategy that uses SPY’s RSI-based regime signal to switch between Risk On (growth/sector exposure) and Risk Off (hedges including 3x inverse funds, Treasuries, and gold). It combines a wide mix of ETFs and leveraged/inverse products with layered rules and Rotator blocks to try to capture value in rising markets and defend against downturns.

- Step 1: Trigger. The system monitors SPY (the S&P 500 ETF) using RSI and other simple momentum signals to decide whether market conditions are favorable or not. If SPY looks steady and not overbought, the system tends toward Risk On. If SPY shows overbought signals or market risk is high, it shifts toward Risk Off. Treasuries are also watched; if they’re stable, less hedging is needed. - Step 2: Regime decision. Based on the trigger, the model selects a core posture: Risk On (more long/sector exposure) or Risk Off (hedges and safety assets). This decision drives the mix of positions across blocks labeled as BlackSwanCatcher, Safety Mix, Normal Market, New Safety Mix, and Rotator blocks. - Step 3: Asset selection. The strategy uses a wide basket of ETFs/ETNs (examples: SPY, QQQ, XLV, XLE, XLP, XLI, XLB, XLU, GLD, USDU, IEF, TLT, BIL) plus leveraged and inverse instruments (e.g., SQQQ and SOXS as 3x inverse bets, TBT/ TMF style treasury bets, UVXY and SVIX for volatility contexts). The goal is to build a diversified long exposure when risk-on is favored and to layer in multiple hedges when risk-off is favored. - Step 4: Rule stacking. Within each regime, there are many conditional checks (e.g., relative strength vs SPY/QQQ, moving-average crosses, drawdown thresholds, volatility signals) that decide which assets to hold and in what weights. These checks are grouped in nested “group” blocks (for example, V1, V2, V3, V3.1, V5.1) representing different tactical themes (e.g., safety mixes, volatility focus, QQQ/QQQ-related catchers). - Step 5: Position sizing. The weights are specified as nominal percentages (often expressed as 85/100, 35/100, etc.) and are allocated among the chosen assets within each block. Some blocks emphasize equal cash weighting, others emphasize risk/reward screens (e.g., bottom/top movers by cumulative return, standard deviation, moving average criteria). - Step 6: Rotators and Rotations. The “Rotator” blocks periodically shift among different long/short configurations to avoid static bets, helping the strategy adapt to regime changes. The nested blocks include references like “Tim Cook’s Excellent Adventure,” “Elon’s Excellent Adventure,” “Huang’s Excellent Adventure,” illustrating different rotation themes or scenarios. - Step 7: Rebalancing. The root includes a rebalance instruction (most often set to a near-zero corridor, implying minimal rebalancing unless signals force a change). The design aims to maintain total return exposure across a broad set of assets while preserving downside controls. Important caveats: this is a highly complex, multi-layered system relying on a lot of moving parts; real-world performance depends on data fidelity, timing, and how signals interact across many timeframes.

Dynamic, regime-switching multi-asset strategy that pivots between growth and hedges using SPY momentum. Out-of-sample: ~24% annualized return, Calmar ~0.63, Sharpe ~0.68, with broad hedges (inverse ETFs, Treasuries, gold) for risk control vs the S&P 500.