A rule-based, multi-asset strategy that diversifies across volatility hedges, momentum-driven equities, and safe-bond/defensive plays. It uses simple momentum/volatility signals (like RSI and cumulative returns over several windows) to decide when to tilt toward volatility ETFs (UVXY, SVXY, VIXM), levered equity plays (QLD), broad-market proxies (SPY, QQQ), bonds (TLT, VGIT, VGLT, TMF, TMV), and safety assets (GLD, UUP, SHY, BTAL, PSQ). The system partitions capital into sleeves with explicit weights and includes a special “BlackSwan” module to guard against extreme volatility. The aim is to capture gains when trends persist, while hedging risk during stress, all within a diversified, rules-based framework that avoids overconcentration in any single bet.

- The strategy organizes capital into several sleeves: Volatility Signals (Vix Vol Check and Spoo Vol Check), Interest Rate / Bond Signals, a Momentum-driven “Mom” sleeve, and a BlackSwanCatcher module. Each sleeve has rules to decide whether to hold a specific ETF or a mix of ETFs, and how much weight to assign. - Volatility sleeves look at market stress indicators. They use short-term momentum/strength measures (like RSI, a gauge of momentum) to decide if volatility-related ETFs should be bought to hedge risk (e.g., UVXY, SVXY, VIXM) or whether to stay neutral. RSI is explained simply here as a momentum gauge that ranges from 0 to 100; readings above 70-80 suggest strong price moves and potential reversal risk, while very low readings suggest oversold conditions. If the signal is strong enough, the sleeve might overweight a volatility ETF and a market-neutral anti-beta fund (BTAL) to reduce beta exposure. - The Equity tilt sleeves (e.g., “Mom” and “BlackSwanCatcher”) select equities based on momentum of stocks and broad market ETFs like SPY, QQQ, GLD, UUP, DBC, etc. The “Mom” sleeve often selects the top two performers by cumulative return over about 120 days, then allocates accordingly. This helps capture persistent trends while avoiding crowded trades. - The Interest Rate / Bond sleeves use long-dated and mid-term Treasury ETFs (TLT, VGLT, VGIT, etc.) and leverage (TMF/TMV) based on whether longer-term trends indicate rising rates, falling rates, or nearby overbought/oversold conditions. The strategy blends “safer” positions (TLT/IEF/SHY-like exposure) with leveraged plays when the trend is favorable, while also incorporating risk-off hedges (UUP, SH, PSQ) for protection during stress. - The “Bonds” and “Safety” areas provide ballast with varied bond maturities and defensive assets (GLD for gold, UUP for dollar strength, XLP as a defensive equity sleeve) to smooth volatility and preserve capital in downturns. - The “BlackSwanCatcher” is a volatility-conscious guardrail that uses heavy volatility exposure only when conditions show extreme stress or potential regime shifts, incorporating both volatility ETFs and mean-reversion ideas to attempt to catch sharp, sharp reversals. - All sleeves carry weights that sum to the overall portfolio, with dynamic rebalancing across groups as conditions change. In short, it’s a rule-based, multi-sleeve system that shifts capital between hedged positions, momentum bets, and defensive assets in response to signals derived from momentum and volatility indicators, and it uses a mix of mainstream and niche ETFs to implement those bets.

Outperforms the S&P on risk-adjusted terms: OOS return 23.93% vs 22.36%, max drawdown 15.96% vs 18.76%, beta ~0.85, Calmar ~1.50. A diversified, rule-based mix of momentum, volatility hedges, and defensive assets.