for what it's worth 300 to 350 works; in the second pasted gtr it leaves out all the complicated stuff and just uses SPY>SMA325 but a range works. It seems to stop you from getting out too soon after downturns. There is no reason to use SMA200 just because it is commonly used by humans if it is not the best timing rule. Any timing rule is by definition rather "tuned" since it wants you in the market enough of the up periods not to lose too much CAGR. I think of it like stops: they tend to cost you CAGR and I wasn't convinced any timing rule is justified but this reduced beta to .8 and raised sharpe to .8 while maintaining almost all the upside. If you could take less risk than the market with twice the return it would be great.
I am going to use AI to test various schemes once I have the Nasdaq100 price/volume data on all its constituents over time. I hope to be able to then report time to recovery on various drawdown periods compared to the market, what you would have gotten if by coincidence you began the worst possible start date, etc. I realize most people respond to that more than sharpe and beta.
I am excited about the Nasdaq100 as a sub-universe to play with.

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