One of the best strategies found
The best strategies are interpretable given the correlations reported above. For example, the third-best strategy is: Rule 0: If S&P500 change > 1.1% then Japan Rule 1: If gold change > 0.2% then gold Rule 2: If S&P500 3dma < 1.1% then S&P500
The absolute best strategy on the training period is harder to understand, and performs much worse on the test period.
Understandability is beneficial because a pattern or strategy that performs well historically and is interpretable has passed two different tests of reliability.