A daily, two-sided momentum strategy using leveraged ETFs (long and short) with RSI-based risk gates to decide when to enter and which assets to hold. It selects the top two momentum assets for long legs and the bottom two for short legs, with variants that include or exclude certain treasury exposures.

What it does in simple terms: - Rebalances every day. - Builds a long leg and a short leg from a small pool of leveraged ETFs. - Uses a short-term momentum screen (few days) to pick the two best for each leg. - Applies RSI-based risk gates to decide whether to enter the long or short side and which variant (TMF exposure on or off). - Allocates capital to each leg according to the rule set (often equal or near-equal sizing within a leg). - Keeps positions open for the day (daily reset) and repeats with new data tomorrow. - The pool includes tech, real estate, small-cap, high-beta, and treasury proxies. The exact assets rotate based on performance signals and RSI gates, but the intent is to ride short-term momentum while applying a market-breadth check to avoid extreme risk.

Out-of-sample edge: ~75% annualized return vs SPY’s ~23%, with Calmar ~1.77 and Sharpe ~1.31. A daily RSI-filtered momentum strategy on levered ETFs targets strong upside with risk controls—though drawdowns can be larger than the market.