Something like this?

https://www.quantopian.com/posts/mebane-fabers-tactical-asset-allocation

Yes! I didn't realize it was already in the 'Community'! I had searched for it, but don't know why I didn't find it. The differences are: GSG over GLD for commodities (forcing backtests to > 2006), TIP over AGG (not sure which is more representative), monthly rebalance instead of daily, 5% threshold instead of 10% threshold for rebalance. Rerunning John Chia's version results in less drawdown (8.59% < 13%) and his return to date beats the benchmark by a hair.

Chia's version again, with cash holdings tracked:

So smooth! Can beating buy and hold be so simple?

If "smooth" is what you are looking for, then yes, it can be this simple. Does it ALWAYS beat buy-and-hold ? No backtest can tell you that.

@ Paul Perry,

You are right. Backtest is only 1 realization of a zillion possibilities. It can never tell me whether the future is going to look like the past. But smoothness on its own is quite commendable. It lets you plan your finances for any time horizon. Can be a brilliant retail product.

Kudos.

from 2009 to 2012 the delta between the SPY and the strategy is about the same, then after 2012 the delta decreases... Just looking at the trend I would say that the beating decreased during the last while. It prevents the downturn and that is commendable, but for the rest... I would not put my money in when it looks like this...

Was it able to prevent the 2001 downturn. It's nothing out of the world for an investor driven by greed. But a risk averse investors who wants a bigger return than what treasuries can offer, would love it.

Meb himself offers a retail product that implements something near this strategy: GTAA . As I see it, the advantage of this strategy is not the upside, as it doesn't beat the market, but avoiding the downside. It simply implements golden-cross timing on top of the broadest set of asset classes.

Faber's firm no longer advises GTAA, but he has newer alternatives such as GMOM and GAA.