This strategy is based off the sample. It buys +200 shares of the market index ETF SPY when the market price is equal to the closing price (vwap) and then sells -100 shares when the market price equals 90% of the closing price.
Simply, this strategy is long the market with some periods of less exposure.
It looks like it would have worked well. Not surprising since we've been in a bull market since 2009.
I don't know what the benchmark is. I'm assuming its the S&P 500.
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