A daily, rule-based rotation among ETFs using RSI and moving-average signals, with a KMLM-driven momentum gate and a wash-behavior layer to curb turnover; it tilts between stock exposure and hedges/bonds to chase gains while managing risk.

On each trading day the system runs through a large decision tree that scores many ETFs on momentum (RSI over 10–20 days), trend (current price vs 20/200‑day moving averages), and relative strength versus a benchmark. A special module labeled “KMLM switcher Wash” acts as the core momentum screen, comparing a broad set of assets against the KMLM gauge and selecting the strongest performers to own for the day. A companion “SPY/SH/SHV Wash” block decides whether to tilt toward stocks (SPY family), hedges (SH, SHV), or risk-off assets (SGOV, short-duration Treasuries) depending on whether momentum signals are overbought or risk cues rise. The strategy uses a layered, bear/bull framework (Bull, Bear, Long/Short Rotator, and Convergence Long/Short signals) to couple market regime with portfolio construction. The final exposure is typically 100% to the chosen asset(s) (weight 100/100) or a calmer split (e.g., 50/50) to manage turnover. It rebalances daily, so holdings reflect the latest signals rather than a fixed allocation. The model also includes “wash sale” style logic (the many nested KMLM and SPY/SH/SHV wash blocks) intended to avoid rapid buy-sell cycles around the same instruments, effectively moderating turnover and potential tax or rule-related frictions. In practice, you’ll see frequent rotations among popular ETFs (SPY, QQQ family, SSO, QLD, ROM, SPUU) and less famous ones (KMLM, SGOV, VOX/VOO/VE? lines) depending on the momentum regime and the KMLM trigger. The approach targets capturing upside in rising markets while prioritizing capital preservation during volatility by shifting toward shorter-duration Treasuries or hedged/short stock instruments when signals invert. The result is a dynamic, algorithmic “rotation with a bias toward momentum and risk-control” rather than a static buy‑and‑hold approach.

Out-of-sample, this strategy delivers ~51% annualized return with ~14% max drawdown and Sharpe ~1.56, vs SPY ~17% return, ~19% drawdown, Sharpe ~0.96. Momentum rotation with regime hedging and wash logic boosts upside while reducing risk.