A multi-window SPY-momentum based plan to trade VIX futures ETFs while using ultra-short bonds as ballast and a protective “Black Swan Catcher” rule to curb risk during spikes; rebalanced daily with an ensemble of weighted signals.

- The strategy aims to profit from volatility by trading VIX-related ETFs/ETNs, using SPY momentum as the signal. - RSI (momentum gauge) of SPY is calculated over several short windows (e.g., 2, 3, 4, 5, 6, 7, 10, 14 days). RSI helps identify whether SPY has recently been unusually weak (oversold) or strong (overbought). - If SPY shows weak momentum on certain windows (e.g., RSI below a threshold like 25), the system tilts toward VIX-related bets (ZVOL or VXZ) to benefit if volatility spikes. If SPY shows strong momentum, the system may reduce VIX exposure or favor other paths. - A separate group, “ZVOL w/ Black Swan Catcher,” introduces an extra rule: if volatility is dangerously high (e.g., UVXY above a threshold like 70), the strategy favors cushioning with PULS (short-duration bonds) or cash instead of leveraged volatility bets. This acts as a risk-control layer. - The strategy uses two or more VIX instruments (ZVOL and VXZ) to capture different facets of the VIX futures curve (short-term vs mid-term) and to avoid putting all risk in a single instrument. - PULS (a short-duration bond ETF) is used as ballast to reduce portfolio drawdowns when volatility spikes or when signals become uncertain. - Each possible signal path carries a predefined weight; the weights across all scenarios sum to 100, forming an ensemble exposure rather than a single trade. - The plan calls for daily rebalancing and notes that SVXY could be substituted for ZVOL in backtests for robustness. It also points to potential future extensions with SVIX and UVIX. - The strategy explicitly avoids over-reliance on popular ETPs to minimize wash-sale conflicts and to explore a niche set of instruments. In plain terms, think of it as a multi-check recipe: watch short-term SPY momentum from many angles, decide whether volatility bets or hedges are favored, apply a safety rule if volatility looks extreme, and blend several signals into a single daily position. Caution: VIX ETFs can be highly volatile and leveraged, and results depend on liquidity, costs, and the exact rule implementation.

Out-of-sample: ~34.5% annual return, Calmar ~6.05, max drawdown ~5.7%; Sharpe ~2.76 vs SPY ~0.86, drawdown ~18.8%. Low beta with volatility tilt and ballast aim for higher, steadier risk-adjusted growth than the S&P 500.