i dont know if you could write something like this if you look at the first few months. it would hvae to change as it goes alongI developed this strategy in 2007 and have used it since then. it produced three digits return in first several years, and then the performance went down since 2014. I guess that was due to the low market volatility. in the last 12 years till now, the maximum dd is below 2%, the sharpe ratio is around 7. below is the performance chart for this year.
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