Hmm, I do like your choice yanmega build, you can alternate to have a speed boost detect/protect uturn.... I just gave myself an idea. Not a very good one. Swagger, psych up, uturn, detect, focus sash, speed booost yanmega is a risky proposition. Could be a useful lead like most speed boost leads.
If you switch it in to a set-up wall or sweeper, you can protect to get speed boost, then either
A. psych up right away to match the set-up but with the addition of two extra speed boosts by the end of the turn which should guarantee a first move uturn into something that hopefully resists and/or has a SE move against the opponent.
B. Swagger next, gambling on confusion to make the foe hurt itself or set up even more and then psych up the next turn. Focus sash will guarantee living through one hit, barring hazards. If you're lucky you surivive to give a greater boost to the next pokemon via uturn.
I take it back. It's not a bad idea. It's an interesting wild card. Could always have bug buzz to give it a good attack if you don't like the swagger gamble.