Performance on a separate test period
The test period has 302 trading days from January 1998 to February 1999. During these 14 months: Fund 1 (gold) up 44% of days, annualized return -9.8% Fund 2 (bonds) up 33% of days, annualized return -0.4% Fund 3 (Japan) up 47% of days, annuali
The strategy makes 162 switches and earns 61% annualized return, 40% adjusted for 0.1% transaction costs.