Alternatively, how about the SMA rule for getting out, one of Mungofitch's bottom catchers for getting back in, and then ignore the SMA rule until back above the SMA curve?

Tried that, too.
non funziona

Too bad we can't post charts here. But go to yahoo and look at the chart for "^IXIC" (NASDAQ Composite) for 10/2/2000 to 4/21/2003.

Those are the dates encompassing the "OUT" period. 4/21/2003 was the week where the SMA signal said to buy.

There were a few potential bottoms along the way, each one lower than the previous one. I would call the first three head-fakes. By the time you could call the bottom you would have gotten in right about the next peak.
The last bottom was 9/30/2002 at 1140. The "IN" signal was 11/21/2003 at 1434. If it took 1 month to decide that 9/30/02 was the bottom, you'd have gotten in at 1360. BFD.

The first major bottom was 4/2/21. Say you got back in a month later 5/7/01 at 2235 and stayed in ignoring everything until the SMA buy rule kicked in on 4/21/03 at 1134. Not good.

So, one right bottom call out of 4-5 candidates. The first ones were fails, the last (true) one got you in a year earlyfor little effect -- 1360 rather than 1434.

But here is the real problem:

# of months out     Count
          1         11
          2         6
          3         2
          4         4
          7         1
          8         1
         14         1
         17         1
         31         1

The longer the OUT period was, the fewer there were. The long periods -- 7, 8, 14. 17, 31 -- only occurred one time each. There is no way you can come up with a robust rule for getting back in early.

I think it's like musselmant said, in this screen you just have to take your lumps and soldier on.

"Successful investors need the emotional discipline to execute their planned strategy faithfully, come hell, high water, or the apparent end of capitalism as we know it." --William Bernstein