A daily, five-group, rule-based ETF rotation that selects lagging ETFs on a short momentum screen and uses a bond-vs-stock RSI gate to tilt risk, with equal 20% weights per group and multiple backtest variants.

- Daily rebalance across five mini-portfolios (groups) that together make up 100% of the invested capital. - Each group looks at a pool of ETFs (mostly leveraged or inverse exposure to tech, equities, bonds, or international markets). - Within a group, every ETF’s recent performance is summarized with a very short momentum measure (moving-average-return over a small window, e.g., 4 days). The ETFs are ranked, and the bottom N (1 for some groups, 2 for others) are selected to carry the group’s exposure. In other words, the strategy buys the weakest performers over the short window within that group. - A gate using the Relative Strength Index (RSI) is applied to decide which side of the gate to use. The RSI compares a bond proxy (e.g., bond ETFs) against a stock proxy (e.g., QQQ or URTY). If the bond RSI is greater than the stock RSI (on specified lookback windows like 15 or 10 days), the group proceeds with the first-level selection (usually 1 asset). If not, it uses an alternate path that can average in a second asset (2 assets) from the same universe. - The five groups are weighted equally, typically 20% each, so the daily allocation adds up to 100%. - The whole construct is shown in various variants/backtests (e.g., “3 Year BT Copy,” “without TARK or SARK”) to explore performance under different constraints. - The system uses tools and tickers that include leveraged ETFs (e.g., 2x or 3x exposure) and inverse ETFs to express tactical bets on sectors, markets, or risk sentiment. The exact tickers can be many, but the intent is to rotate into assets that historically showed lagging momentum within the permitted universe, subject to a bond-vs-equity mood filter, and to do so with daily rebalancing across five equal slices.

Out-of-sample, this strategy targets ~60.5% annualized return vs SPY’s ~20.7%, via daily rotations across five groups. Expect higher volatility and drawdowns (~45.6% vs ~18.8%), but solid risk-adjusted upside (Calmar ~1.33).