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I cannot disagree with your (= elann's) comment about the short backtest. I wish it was longer, and only presented it because of its performance during both bull and bear markets.

This sounds reasonable, but, alas, isn't. You don't have a short backtest, you have an ultra short backtest, because of your 12 month hold. That gives 5 (five) data points. That is not a backtest, but sheer randomness. What happened in the real world doesn't matter, and can't validate the 'backtest'. To test for robustness, I changed this to a 6 month hold and got 19/36/0.55 (instead of 69/45/1.38 for the 12-month hold). While it is still better than the market, the difference stinks to heaven.

Let me put it like this: it's your money. To all others: don't try this at home.

Regards,

Karel
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