Daily-rebalanced, RSI/momentum-driven strategy around TQQQ that selects a 4-ETF risk-on or risk-off basket from a defined pool, using moving-average momentum and volatility screens, plus a SPY 200-day trend filter, with equal-weight allocation to the four chosen assets.

Every day the system decides whether to tilt toward a risk-on or risk-off basket. It uses momentum signals (RSI) on proxies like TQQQ, SPXL, QQQ, SPY and a price-trend check (SPY above/below its 200-day moving average). If momentum is favorable, it scans a pool of ETFs (XLU, XLP, GLD, BIL, USO, UVXY, TMV, TMF, UUP, SHY) and picks the top 4 by short-term moving-average gains. If momentum is unfavorable, it picks the bottom 4 by volatility/standard deviation from the same pool. It then allocates equal cash to those 4 assets and rebalances daily. The strategy uses a 5-day window for the moving-average ranking (top 4) and a 20-day window for the volatility ranking (bottom 4). RSI thresholds (roughly on TQQQ, SPXL, QQQ, SQQQ/SPY proxies) guide the decision to switch baskets, and a separate trend filter checks whether SPY is above its 200-day average before the final allocation. The end result is a 4-asset, equal-weight sleeve that is applied on top of a leveraged core exposure, with risk controls embedded through momentum and trend signals. Note: this involves leveraged ETFs (e.g., TQQQ, SPXL, SQQQ) and multiple ETFs across sectors, commodities, currencies, and bonds, so performance can be highly sensitive to regime shifts and compounding effects.

Out-of-sample edge: Sharpe 1.55 vs 1.30, Calmar 2.22, ~109% annualized return vs ~24% for the S&P. Higher drawdown (~49% vs ~19%), but disciplined risk controls and momentum-driven upside offer superior long-run growth.