'Not quite what Jim was suggesting, but below is a calendar month relative strength momentum strategy, with cash, using the funds in RAMcN’s post:
https://www.portfoliovisualizer.com/test-market-timing-model…
The stats and equity curve look good.
But this illustrates a favorite point of mine: stats and equity curves can be highly deceptive.
You need to look at consistency of performance i.e. be sure to click on ‘rolling returns’.
Depending on your lookback period, the outperformance ends around 2010 to 2012.
I didn’t find any lookback period or ‘number of funds held’ that made this look good