Backtest Period
1926-2005
Markets Traded
Equities / Options
Maximum Drawdown
Period of Rebalancing
Daily
Return (Annual)
7.200000000000001%
Sharpe Ratio
1.04
Standard Deviation (Annual)
6.9%
Original paper
SSRN-id2584213.pdf286.5KB
SSRN-id2479295.pdf259.9KB
Trading rules
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