The author only had access to data from a fairly bullish period. (alephblog.com)
During bullish periods this fund typically soars and during bearish periods it crashes hard. (brickbybrickinvesting.com)
The screen has tested well historically in bullish periods so strategies an investor could use to avoid drawdowns would be to either a) abandon this type of strategy entirely when the SP 500 or another major index is below a long term moving average, or b) hedge positions with a position in SH or write a short option strategy on an equity index or ETF like SPY. (scottsinvestments.com)