A daily-rebalanced, multi-horizon momentum strategy that mainly uses the levered QQQ vehicle (TQQQ) for upside, while hedging risk with BIL (short-term Treasuries) and occasional hedges. RSI/moving-average signals across several windows drive dynamic allocations among TQQQ, BIL, and hedging assets to balance upside with risk control.

- The strategy operates daily with a fixed universe of ETFs: TQQQ (3x Nasdaq), BIL (short-term Treasuries), and occasional hedges like SH (inverse S&P 500), SPY/QQQ/GLD as supporting assets. - It computes momentum signals using RSI-like indicators across several windows (10-day, 21-day, 130-day, 252-day) for assets such as QQQ, SMH, SPY, and others. Each window has thresholds (e.g., RSI below 23 or 28, or above 75–80) that push allocations toward risk-on (TQQQ) or risk-off (BIL, SH). - It also compares current prices to moving averages (moving-average-price) and current price versus moving averages over different lookbacks to gauge trend strength. These checks help decide whether to tilt toward growth (TQQQ) or safety (BIL) even if momentum is mixed. - Allocation is built around “wt-cash-equal” blocks, meaning when signals are neutral the system spreads cash equally across the chosen assets; when signals favor risk-on, weights tilt toward TQQQ (e.g., 25–75, 30–70 splits); when signals favor safety, weights shift toward BIL and reduce leverage exposure. - The structure uses multiple family editions (e.g., “BIL Edition”, “TLT Edition”, “GLD Edition”) to capture different defensive mixes and regimes. These branches are combined into a final daily rebalance that determines a single weight vector across the assets in the active group. - The approach emphasizes safety of capital in volatile markets by using hedges (BIL and SH) and gold exposure (GLD) as part of the decision rules, while aiming to preserve upside when signals align for stronger equity momentum via TQQQ. - The result is a dynamic, rule-based portfolio that attempts to maximize upside via leverage when momentum across several horizons is favorable, while constraining risk with short-term Treasuries and occasional hedges and by rebalancing daily. This is not a simple buy-and-hold or a traditional indicator like RSI in isolation; it’s a layered, conditional framework that chooses not just assets but exact weightings based on an array of momentum and price-measure checks.

Out-of-sample, this strategy delivers higher upside than the S&P: ~27.5% annualized return vs ~18.4%, Calmar ~2.62, Sharpe ~1.21. Hedged leveraged exposure (TQQQ with BIL/SH) helps risk control. Max drawdown ~10.5% vs ~5.1%.