Vol harvest is a volatility-focused, momentum-driven mix: if TQQQ shows extreme momentum (RSI > 80), buy UVXY; otherwise pick the least-volatile among TMV, TMF, SVXY and add BTAL, with cash as a baseline and no routine rebalancing.

What it tries to do in plain language: - It starts by keeping cash as a baseline (cash-equal framework). - It watches a tech-heavy, leveraged ETF called TQQQ. If TQQQ has been moving strongly up for a short period (the 7-day price momentum is very high, RSI > 80), the system shifts into a volatility hedge by buying UVXY (an ETF that tends to rise when market volatility spikes). This is a way to protect against or profit from a sudden market wobble when tech has shown extreme strength. - If that momentum condition isn’t met, the system goes into a defensive/volatility-light mode. It looks at three more volatile/defensive instruments: TMV (bets that long-term Treasuries will fall in price), TMF (bets that long-term Treasuries will rise in price), and SVXY (an ETF that tends to do well when volatility falls). It ranks these three by how volatile they have been recently (5-day lookback), and it picks the one with the lowest recent volatility for a full allocation (100% weight within that group). - In addition to this choice, the strategy always includes BTAL (AGF U.S. Market Neutral Anti-Beta Fund), which is designed to reduce market beta by balancing high- and low-beta exposures, adding diversification and smoother performance. - There is no frequent rebalancing (rebalance: none); allocations are intended to stay in place unless the model is triggered by a signal. The corridor width (0.1) suggests a tolerance around targets, but with no automatic rebalancing, actual moves depend on signal changes and execution rules. - In short: when volatility looks like it might spike (via the RSI signal on TQQQ), go into UVXY. When not, tilt toward the lowest-volatility among TMV/TMF/SVXY and add BTAL for anti-beta diversification. This mix aims to harvest volatility moments while trying to keep the portfolio more stable during quieter times. Important notes for a layman: UVXY and SVXY are volatility-related ETFs and can be risky; TMV/TMF move with interest-rate expectations; BTAL is a sophisticated diversification vehicle. The strategy relies on these signals working as expected and can underperform in persistent trends or protracted low-volatility environments.

Out-of-sample: ~25% annual return, lower drawdown (~18% vs SPY ~18.8%), negative beta, Calmar ~1.39. Volatility hedges plus anti-beta diversification aim for steadier growth and downside protection vs S&P 500.