A policy consists of three rules in sequence
Each rule consists of:
- One of four indices: the S&P 500, gold, short-term bonds, or option implied volatility.
- One of four measures: percent change, three-day or ten-day moving average, change minus ten-day moving average.
- A comparison operator, either < or >.
- A threshold chosen between -3.2% and +3.1% varying by 0.1%.
- One of four target funds: an S&P500 fund, a Japan fund, a gold fund, or a short-term bond fund.
The number of alternative rules is 4*4*2*64*4 = 213, so the total size of the search space is 239.
Because the rules are ordered, the logical condition governing each rule includes the negation of the conditions in its predecessor(s).