Subject: Re: mechanical for taxed
Here is something from the LargeCapCash screen family.
I just did a test with this variation:
...
The timing overlay: go to cash if the S&P return in the last 3 months was less than -3%

PS
FWIW, that screen has two years out of sample.
With that timing, it almost exactly tied the S&P 500 in those two years.
But that's actually a pretty good result, as it was long only 71% of the months.
It didn't actually make any money, though--both alternatives were just a bit above net flat.

Jim