A daily, rule-based, multi-asset trend-following system that switches between a Leveraged Risk-On basket and a Safe Haven basket, guided by momentum, moving-average/RSI-style signals, macro regimes, and risk controls across many ETFs.

- Every day, the system runs a large decision tree that checks several signals to decide the market regime and what to own next. - Regime checks include trend signals in SPY (and SPY-relative tests), momentum screens, and volatility indicators. When momentum and trend are positive, the system favors a “Risk On” setup; when signals flip, it shifts toward a “Safe Haven” setup. - The strategy defines two primary baskets for the regime switch: Leveraged Risk On Basket (SPXL, UDOW, TQQQ, SPXS) and Safe Haven Momentum Basket (UUP, TMF, DBC, UGL, IEO, XLU, VIXM, TMV). It also uses cash-like or treasury/short-maturity proxies (e.g., BIL, TIP) as stabilizers. - Within each regime, the system screens many ETFs by short- to medium-term performance (moving-average return, cumulative return, etc.) and picks the top N assets to hold. Some screens use the last 10–20 days of returns; others use 20–60 day windows to evaluate relative strength. - There are regime-conditional sub-strategies (e.g., “Risk Off – Fed is cutting rates,” “Bonds,” “Commodities,” “Safe Haven Momentum”) that group together assets by theme. Each sub-strategy produces a candidate list, which is then blended into the final allocation. - The plan uses multiple overlay strategies (e.g., Pareto-based portfolio, volatility spikes, max drawdown screens) to prune or overweight assets, aiming to keep drawdowns in check while preserving upside when regimes flip back to risk-on. - The final daily decision is a weighted mix of these sub-strategies, selecting top assets from each group and assigning weights (the logs show percentages like 40/100 in several filters) to craft a diversified but opportunistic portfolio. - The risk management layer looks at drawdown and volatility signals, often using a “bottom/top” selection approach across groups to avoid concentration in any single asset class, while still enabling leverage when the signals are strongest. - Tickers span equities, sector themes, dollar exposure, commodities, gold, oil & gas, and bonds, providing broad exposure so moves in markets (growth, inflation expectations, risk appetite, and macro policy) can be captured across regimes. - In short, it’s a complex, multi-asset trend-following engine that tries to switch between aggressive growth bets and defensive hedges on a daily basis, guided by momentum, regime indicators, and risk controls, using a large universe of ETFs rather than a single market proxy.

Out-of-sample upside: ~37.5% annualized return vs SPY ~25%, achieved by daily regime-switching across a broad ETF universe that rotates between risk-on and safe havens with built-in risk controls.