Return ain't so hot, but it does seem to do the hedge-o-matic dance, skipping right over the big market dips. Perhaps someone wants to play around with it, to see if it can be improved.
That profit blip on 24Aug2015 caught my eye as there was a flash-crash that day :
http://www.investopedia.com/articles/investing/011116/two-biggest-flash-crashes-2015.asp
Looks like the algo was able to go big long on RSP (GUGGENHEIM S&P 500 EQUAL WEIGHT ETF) on 24Aug2015 at 9:49 AM at $50.07 (previous close in high 70s) and then selling it the next day at $74.56 .
Assuming the print and fill are both good, for sure this algo took big advantage of a buying op. Attached backtest just zooms in a bit for that period.
Richard
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