Here's a strategy i'm currently forward testing in my IB account. By calculating the ratio of two ETFs ( one tracking the market , the other cash or bonds) , and plotting it against it's 100 moving average , produces some interesting results.
Risk "On" instrument : SPY ( SP 500)
Risk "Off" Instrument : TLT ( 20 Year Treasury)
based on the results , the strategy doesn't always beat the S&P 500 , in fact , it only beat the market 3 years out of ten and matched the same return in 2014. More importantly, it performed very well during bear markets , look at the return for 2008, 2011.
The backtest looks good , but i only rely on forward/ live testing results. I will try to update this post with my results.
P.S , the strategy has been in TLT ( risk off) since July 2014.
from 2000 - 2015 :
4 trades were placed, 2 winners ( closed), 1 loser , current position is open since 2011 and positive
Buy Sell Return
Oct 31, 2000 Nov 30, 2000 -7.46%
Jun 30, 2003 Jan 31, 2008 +52.66%
Sep 30, 2009 Sep 30, 2011 +11.44%
Oct 31, 2011 Feb 12, 2015 +78.11%
I like these results .