Starting is message http://boards.fool.com/Message.asp?mid=26810031, fred04 indicated the positive results of switching between the YEY screen and the EG screen based on the crossover of the 200 day moving average of the SP500. The switch return of 40% was significantly higher than the individual screen returns of 33 and 29%.

Later, in post http://boards.fool.com/Message.asp?mid=26812041, Zeelotes completed a more extensive analysis of this switch. His work had a switch based on short and long EMA's on the SP500. One other change from fred04's work was that Zeelotes used a 10 stock hold, where fred04's was 5.

Zeelotes made a statement which I'd like to address later in the post. Specifically, said 'No matter what EMA levels you choose all of them beat out holding these two individually'. From a sharpe perspective, I'll go about to prove this wrong.

It's probably obvious from my introduction as well as my subject title, but the intention of my work is to see if this positive result will hold up to multi start date testing via the GTR1 backtester.

For clarification and completeness, the following are statements comparing my analysis to Zeelotes. For the most part, I believe the work I completed is almost identical to Zeelotes, except for:
1. I used the daily returns for a 10 stock hold, 21 cycle, 21 day hold screen from Jamie's GTR1 backtester. I believe Zeelotes used a 10 stock, single cycle, monthly returns/stock picks from Jamie's monthly backtester
2. My results are an average of these 21 starts
3. My results contain returns up to Dec 31 2007, as Zeelotes went to March of 2008. The impact of this difference should be minimal.

Before I display the results, I'll state a quick executive summary:
1. From a pure Sharpe perspective, this switch idea is torpedoed when using all start dates.
2. My highest EMA switch CAGR of 34.2% is not much higher than Zee's lowest EMA swithc CAGR of 31.17%, and doesn't even come close to his highest switch return of 41.49%.
3. Although it could be said that the switch CAGR's are categorically higher than the individual screens, it must be added that the switch Sharpe's are categorically lower than YEY's.
4. Reversing the screens (where YEY is the high screen and EG the low screen), deteriotes the sharpe's minimally. (due to size, I won't display the results that back up this statement). It should follow that if the switch truly increased performance above the performance of the individual screens, then the reverse strategy should be the opposite. It doesn't.
5. A 50/50 blend of these two screens would have provided a larger sharpe, lower ulcer index and lower maxDrawDown (DD) than any one my 156 EMA switch tests.
5. One's optimal play, at least historically, would have been to blend the two screens, with a blend of 11% EG, 89% YEY, which gives a Sharpe of 1.403

What follows are the matrices of the relevant metrics. I've bolded the high and lows for the respective group. The rows are the shorter EMA levels, and the columns are longer EMA levels. At the very bottom is return metrics for differing blend percentages.

Lance

                 150        155        160        170        180        190        200        210        220        230        240        250
CAGR   20      32.2%      32.3%      32.4%      32.7%      33.2%      33.8%      34.1%      34.1%      34.1%      34.2%      34.2%      34.1%
       25      32.2%      32.3%      32.6%      33.0%      33.7%      34.1%      34.1%      34.0%      34.0%      33.9%      33.6%      33.4%
       30      32.4%      32.6%      32.8%      33.6%      34.0%      34.0%      34.0%      33.9%      33.6%      33.3%      33.3%      33.2%
       35      32.7%      32.9%      33.4%      33.9%      33.9%      33.9%      33.7%      33.5%      33.2%      33.1%      33.2%      33.0%
       40      33.1%      33.7%      33.8%      33.9%      33.8%      33.6%      33.3%      33.1%      33.1%      32.9%      32.7%      32.6%
       45      33.7%      33.7%      33.7%      33.7%      33.4%      33.2%      33.0%      33.0%      32.8%      32.5%      32.5%      32.2%
       50      33.6%      33.5%      33.5%      33.4%      33.1%      33.0%      32.8%      32.5%      32.5%      32.3%      31.7%      31.6%
       55      33.4%      33.4%      33.4%      33.1%      32.9%      32.7%      32.3%      32.3%      32.3%      31.7%      31.6%      31.5%
       60      33.4%      33.2%      33.2%      32.9%      32.6%      32.3%      32.3%      32.3%      31.6%      31.5%      31.4%      31.4%
       65      33.1%      33.1%      32.8%      32.6%      32.3%      32.3%      32.2%      31.6%      31.5%      31.3%      31.3%      31.4%
       70      32.9%      32.7%      32.5%      32.3%      32.2%      32.1%      31.6%      31.5%      31.3%      31.3%      31.4%      31.4%
       75      32.5%      32.4%      32.3%      32.2%      32.1%      31.6%      31.6%      31.4%      31.3%      31.3%      31.4%      31.5%
       80      32.4%      32.3%      32.2%      32.2%      31.6%      31.5%      31.4%      31.3%      31.3%      31.4%      31.4%      31.5%
                                                                                                                                             
                 150        155        160        170        180        190        200        210        220        230        240        250
GSD    20      32.2%      32.3%      32.3%      32.3%      32.4%      32.5%      32.5%      32.6%      32.7%      32.7%      32.8%      32.9%
       25      32.3%      32.3%      32.3%      32.4%      32.5%      32.6%      32.6%      32.7%      32.8%      32.8%      33.0%      33.1%
       30      32.4%      32.4%      32.5%      32.6%      32.6%      32.7%      32.8%      32.8%      32.9%      33.1%      33.1%      33.1%
       35      32.5%      32.5%      32.6%      32.6%      32.7%      32.8%      32.9%      32.9%      33.1%      33.1%      33.1%      33.2%
       40      32.6%      32.6%      32.7%      32.7%      32.8%      32.9%      33.0%      33.1%      33.1%      33.2%      33.2%      33.3%
       45      32.7%      32.7%      32.7%      32.9%      32.9%      33.1%      33.1%      33.2%      33.2%      33.3%      33.3%      33.4%
       50      32.7%      32.8%      32.9%      33.0%      33.1%      33.1%      33.2%      33.2%      33.3%      33.3%      33.5%      33.6%
       55      32.9%      32.9%      32.9%      33.1%      33.1%      33.2%      33.2%      33.3%      33.3%      33.5%      33.5%      33.6%
       60      33.0%      33.0%      33.1%      33.1%      33.2%      33.3%      33.3%      33.3%      33.5%      33.5%      33.6%      33.6%
       65      33.1%      33.1%      33.1%      33.2%      33.2%      33.3%      33.3%      33.5%      33.5%      33.6%      33.6%      33.7%
       70      33.1%      33.2%      33.2%      33.2%      33.3%      33.3%      33.5%      33.5%      33.6%      33.6%      33.6%      33.7%
       75      33.2%      33.2%      33.2%      33.3%      33.3%      33.5%      33.5%      33.6%      33.6%      33.6%      33.7%      33.7%
       80      33.2%      33.3%      33.3%      33.3%      33.5%      33.5%      33.6%      33.6%      33.6%      33.7%      33.7%      33.7%
                                                                                                                                             
                 150        155        160        170        180        190        200        210        220        230        240        250
Ulcer  20      12.7%      12.7%      12.7%      12.7%      12.6%      12.6%      12.6%      12.6%      12.7%      12.6%      12.6%      12.7%
       25      12.7%      12.7%      12.7%      12.6%      12.6%      12.6%      12.6%      12.7%      12.7%      12.7%      12.8%      12.8%
       30      12.6%      12.6%      12.6%      12.6%      12.6%      12.6%      12.7%      12.7%      12.8%      12.9%      12.9%      12.9%
       35      12.7%      12.6%      12.6%      12.6%      12.7%      12.7%      12.8%      12.8%      12.9%      12.9%      12.9%      12.9%
       40      12.7%      12.6%      12.6%      12.7%      12.7%      12.7%      12.8%      12.9%      12.9%      12.9%      13.1%      13.2%
       45      12.6%      12.7%      12.7%      12.7%      12.8%      12.8%      12.9%      12.9%      13.0%      13.2%      13.3%      13.4%
       50      12.7%      12.7%      12.8%      12.8%      12.9%      12.9%      13.0%      13.1%      13.2%      13.3%      13.6%      13.6%
       55      12.7%      12.8%      12.8%      12.9%      12.9%      13.1%      13.2%      13.3%      13.3%      13.6%      13.6%      13.6%
       60      12.8%      12.9%      12.8%      13.0%      13.1%      13.3%      13.3%      13.4%      13.6%      13.6%      13.7%      13.7%
       65      12.8%      12.8%      13.0%      13.1%      13.3%      13.3%      13.4%      13.6%      13.6%      13.6%      13.7%      13.7%
       70      12.9%      13.0%      13.1%      13.3%      13.3%      13.4%      13.6%      13.6%      13.6%      13.7%      13.7%      13.8%
       75      13.1%      13.2%      13.3%      13.3%      13.4%      13.6%      13.6%      13.6%      13.7%      13.7%      13.8%      13.7%
       80      13.2%      13.3%      13.3%      13.4%      13.6%      13.6%      13.6%      13.6%      13.7%      13.7%      13.7%      13.8%
                                                                                                                                             
                 150        155        160        170        180        190        200        210        220        230        240        250
maxDD  20      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%
       25      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.4%      46.4%
       30      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.3%      46.4%      46.4%      46.4%      46.4%      46.4%
       35      46.3%      46.3%      46.3%      46.3%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%
       40      46.3%      46.3%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.5%
       45      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.5%      46.5%      46.7%
       50      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.5%      46.5%      46.8%      46.8%
       55      46.4%      46.4%      46.4%      46.4%      46.4%      46.4%      46.5%      46.5%      46.5%      46.8%      46.8%      46.8%
       60      46.4%      46.4%      46.4%      46.4%      46.4%      46.5%      46.5%      46.5%      46.8%      46.8%      46.8%      47.2%
       65      46.4%      46.4%      46.4%      46.4%      46.5%      46.5%      46.5%      46.8%      46.8%      46.8%      47.2%      47.3%
       70      46.4%      46.4%      46.4%      46.5%      46.5%      46.5%      46.8%      46.8%      46.8%      47.2%      47.3%      47.9%
       75      46.4%      46.4%      46.5%      46.5%      46.5%      46.7%      46.8%      46.8%      47.2%      47.3%      47.9%      48.2%
       80      46.4%      46.5%      46.5%      46.5%      46.7%      46.8%      46.8%      47.1%      47.3%      47.5%      48.2%      48.6%
                                                                                                                                             
                 150        155        160        170        180        190        200        210        220        230        240        250
Sharpe 20      0.983      0.985      0.989      0.995      1.007      1.022      1.029      1.026      1.027      1.027      1.027      1.021
       25      0.983      0.985      0.992      1.001      1.019      1.027      1.026      1.022      1.022      1.017      1.006      1.000
       30      0.986      0.992      0.995      1.014      1.023      1.023      1.023      1.018      1.007      0.997      0.995      0.993
       35      0.993      0.997      1.009      1.020      1.020      1.018      1.010      1.004      0.994      0.991      0.992      0.987
       40      1.000      1.015      1.017      1.019      1.015      1.008      0.998      0.990      0.989      0.985      0.978      0.975
       45      1.015      1.015      1.014      1.010      1.003      0.994      0.988      0.986      0.980      0.972      0.971      0.962
       50      1.012      1.007      1.005      1.002      0.991      0.988      0.981      0.973      0.971      0.966      0.947      0.944
       55      1.002      1.003      1.001      0.991      0.984      0.977      0.968      0.967      0.966      0.946      0.943      0.939
       60      1.002      0.995      0.993      0.983      0.975      0.968      0.967      0.965      0.944      0.942      0.936      0.936
       65      0.993      0.990      0.983      0.975      0.967      0.966      0.963      0.944      0.942      0.936      0.935      0.937
       70      0.986      0.978      0.974      0.967      0.964      0.962      0.943      0.942      0.936      0.934      0.936      0.937
       75      0.974      0.971      0.967      0.963      0.961      0.944      0.942      0.937      0.934      0.934      0.935      0.937
       80      0.970      0.967      0.963      0.963      0.944      0.942      0.938      0.935      0.933      0.935      0.936      0.937

% EG  CAGR   GSD    MaxDD  Ulcer  Sharpe
0%    25.0%  14.7%  24.3%  5.5%   1.368
5%    25.4%  14.8%  24.2%  5.0%   1.393
10%   25.9%  15.0%  24.7%  4.7%   1.403
15%   26.3%  15.3%  25.2%  4.7%   1.400
20%   26.7%  15.8%  26.0%  4.9%   1.385
25%   27.0%  16.4%  26.7%  5.0%   1.360
30%   27.4%  17.2%  27.5%  5.3%   1.328
35%   27.7%  18.0%  28.3%  5.7%   1.291
40%   27.9%  19.0%  29.1%  6.1%   1.251
45%   28.2%  20.1%  30.0%  6.5%   1.210
50%   28.4%  21.2%  30.9%  7.1%   1.169
55%   28.6%  22.4%  32.1%  7.7%   1.129
60%   28.8%  23.7%  33.6%  8.5%   1.090
65%   29.0%  25.1%  35.7%  9.4%   1.053
70%   29.1%  26.5%  38.0%  10.4%  1.018
75%   29.2%  28.0%  40.7%  11.6%  0.984
80%   29.3%  29.5%  44.0%  13.0%  0.953
85%   29.3%  31.1%  47.7%  14.6%  0.923
90%   29.3%  32.8%  51.4%  16.4%  0.895
95%   29.3%  34.5%  55.0%  18.4%  0.869
100%  29.3%  36.2%  58.5%  20.5%  0.844