Strategy Performance*
 *Unless otherwise stated, performance results for indicators, models and strategies are hypothetical, based on backtesting using historical data, and are not a reflection of actual trading/investment results.  Past performance, whether actual or indicated by historical tests, is no guarantee of future performance or success.  Please see Disclaimer. 

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(1)  Definitions can be found ​here.

In-sample data 7/2/1987 - 12/31/2003;  Out-of-sample data 1/2/2004 - 7/1/2016;  Real-time trading 7/2/2016 - 11/10/2017.
Results are before taxes. The impact of taxes are estimated in the Tax Considerations section for each strategy.  Results include estimated transaction costs.  Risk-free rate and target rate for Sortino Ratio both set at 1.0%.