A daily, contrarian momentum strategy that allocates 5 equal parts to 1–2 underperforming ETFs per screen, using short-term performance ranks and an RSI bond-vs-equity check to decide whether to pick 1 or 2 assets from each group. It uses leveraged/inverse ETFs to express broad cross-asset bets with equal-weight, high-risk exposure.

- Every day, the strategy splits capital into five screens (each 20% weight). - In each screen, it looks at a set of ETFs that represent different market exposures (tech, broad market, bonds, China, biotech, etc.). - It computes how much each ETF has gained over a short recent period (using a moving-average return over a small window, e.g., 4 days) and ranks them from best to worst. It then selects the bottom asset(s) (the ones that have performed the worst recently) as potential holdings in that screen. - Before finalizing the 1-asset or 2-asset choice in a screen, it checks a relative-strength (RSI) condition: it compares the RSI of a bond proxy (e.g., BND/AGG/SCHZ/TYD) to the RSI of a stock proxy (e.g., QQQ or URTY). - If the bond proxy’s RSI is higher than the stock proxy’s RSI, the screen uses the 1-asset outcome; otherwise it uses the 2-asset outcome. - The five screens together form the portfolio: 5 holdings (or combinations) totaling 100% exposure, rebalanced daily. - The ETF list includes a mix of levered long, levered short, and standard exposures across technology, S&P, bonds, international, and biotech, enabling a broad, contrarian bets across market regimes. - This structure supports backtesting on different horizons (e.g., 3-year backtests, variations without particular filters) and is designed to explore robustness of the contrarian, RSI-filtered, momentum-reversion idea across asset classes.

Out-of-sample, this contrarian momentum strategy targets ~60% annualized return vs SPY ~21%, with Calmar ~1.33. Higher drawdowns (~46%) come with diversified, daily-rebalanced cross-asset leverage aiming for regime-driven alpha beyond the S&P 500.