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DO NOT TRADE THIS SYSTEM. YOU VERY EASILY COULD LOSE LARGE AMOUNTS OF MONEY.
I am not necessarily recommending the system that I presented in Exploring the Market with Hurst, but I thought it would provide a nice platform to illustrate some backtesting with multiple indexes. Do not pass on the incredible opportunity presented by almost unlimited indexes from Yahoo! Finance and the Fed.
R code (click to download):
require(FGN) #sort of random mix for additional testing