I just did a backtest on Profunds Bull/Bear and the COT signals. Profunds aren't as old as the COT so I'm starting when they started. In case any one is interested here are the results assuming you switch to bull on a long signal and to bear on a short signal:
Date S/L value (at the end of the move)
7/1/99 $10K
7/26 L $10,258
11/15 S $10,145
11/29 L $10,202
12/20 S $9,324
1/31/00 L $9,999
4/10 S $10,677
5/8 L $10,990
6/5 S $16,386
3/31/03 L $18,662
7/7 S $16,318 (at today's price)

I'm working on the ultra bull/ultra bear if anyone's interested. It's amazing how everything would change if you catch the move from 6/5/00 to 3/31/03. I think trying to outguess this thing can really mess you up.
Howard

Forgot to say this is for Strategy #2.
h

Howard,

Thanks for doing the work. It's really useful information. I really like your comment - "I think trying to outguess this thing can really mess you up."

I couldn't agree more.

Larry

Here's the returns for ub/ub.
Date Signal Value (at the end of the move)
7/1/99 $10K
11/15 S $9,752
11/29 L $9,809
12/20 S $10,361
1/31/00 L $11,971
4/10 S $13,166
5/8 L $13,941
6/5 S $28,412
3/31/03 L $36,711
7/7 S $28,032 (at today's price)

I was wondering if anyone has backtested the COT data using more of an income averaging approach. I believe that most of us folks invest a little at a time, rather than putting in a 10k chunk and then blindly following the signals for 17 years. I personnaly have been following the cot strategy for 6 months, putting in 3k from my IRA and adding to that every month. This has allowed me to "average down" as the market has moved against us, greatly reducing the drawdown, but this method would also reduce some of the big runups over the years. I would be happy to input the data and share the results, if someone could help with the layout and formulas for an excel spreadsheet.