This is one of my first algo. I think I improved a lot since that, and it would not pass the current set of rules for the open and fund (mainly because of beta to SPY), but it's still very fun to look at. It also does suffer from a bit of selection bias in my opinion. Backtest starts 01/01/2003.
Bayesian tearsheet suggests it will not quite behave like it did in the past. However, I think the recent data looks a bit like 2008-09, and it's interesting to put them in parallel.
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