An all-in timing strategy that toggles between 3x long SPXL and cash-like BIL based on VIXY volatility signals and SPY momentum (RSI), with daily rebalancing.

Two-step daily decision process: - Step 1 (volatility rule): If VIXY price is below its 9-day moving average, allocate 100% to SPXL (bet on a rising market with 3x leverage). - Step 2 (fallback rule): If the first condition isn’t met, examine SPY’s momentum. If RSI(SPY) is below 30 (meaning SPY has recently pulled back too far), allocate 100% to SPXL. Otherwise, allocate 100% to BIL (short-term Treasuries, a cash-like holding). Rebalance happens every trading day, switching fully between SPXL and BIL depending on the signals. The strategy uses known tickers: SPXL (3x S&P 500), SPY (S&P 500), BIL (short-term Treasuries), and VIXY (volatility index ETF) to guide decisions. It does not diversify across many assets; it concentrates risk on SPXL during signals and shifts to BIL as a protective position when signals don’t align with a bullish setup.

Out-of-sample annualized return ~38% vs SPY ~17%, with Sharpe ~0.96 and Calmar ~1.25. A simple volatility/momentum timing strategy aiming for outsized upside and strong risk-adjusted return, but with higher drawdowns (~30% vs ~19%).