Relief-Gated Relative Rotation for QQQ–DIA Allocation: Globally Screened Relative States, Fixed Position Mapping, Incremental Interaction Admission, and Walk-Forward Validation

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Directly relevant to quantitative trading as a systematic ETF rotation strategy. Provides a complete, reproducible framework for relative allocation between growth and value equity ETFs using macro state gating. The walk-forward validation design, signal admission discipline, and explicit turnover accounting are directly applicable to production strategy development. The economic interpretation (relative reversal matters only when gated by rate relief and market context) provides actionable alpha logic.

Moderate complexity. The core logic is a weighted sum of oriented signals mapped through a tanh function with smoothing, which is straightforward. However, the full pipeline requires: (1) constructing 9 raw state variables with expanding standardization, (2) forming all pairwise and triple interactions, (3) running HAC regressions at multiple horizons, (4) correlation de-duplication, (5) incremental OOS filtering for third-order terms, (6) rolling walk-forward lambda selection with turnover penalty, and (7) daily weight smoothing with one-day lag. The signal universe is fixed but the lambda grid search and multi-window validation add engineering overhead.

Full GitHub replication package provided with feature panel, screened signal tables, rolling outputs, reproduction script, and generated report. Methodology is fully specified with explicit parameter values, signal admission rules, and validation protocol. All state variables, interaction terms, and mapping parameters are documented.