The algorithm has been walk-forward back-tested over a long period from 31st Dec 2002 to 31st Dec 2012. All back-tests carried out were out-of-sample tests and the results for each year collated using standard industry metrics. Over the back-test period, the annual Sharpe ratio ranged between 2 (worst) and 11 (best) with an average of 5. Annualized returns in all years were significantly higher than that achieved by the S&P500. In the sample comparison table below, the results of popular strategies were obtained from the American Association of Individual Investors website.