The Market Wizard series has several good interviews with traders with verified records that significantly outperformed for decades. The ones who used TA invariably say that it used to work but became less and less effective as computers became more prevelant.
I wonder if the crossover strategy would still outperform (on a Sharpe Ratio basis) starting in 2005 instead of 1998.
I also wonder if the crossover strategy would fail to outperform (on a Sharpe Ratio basis) once transaction fees were considered.
It still overperforms after 2005 (0.63 sharpe vs 0.55 for buy&hold). It gets kinda awful after 2015 (0.47 sharpe), with the V-shaped 2020 crash and recovery.
I wonder if the crossover strategy would still outperform (on a Sharpe Ratio basis) starting in 2005 instead of 1998.
I also wonder if the crossover strategy would fail to outperform (on a Sharpe Ratio basis) once transaction fees were considered.