the blades said:It's true that you can't trade the index but (unlike many other systems) if you repeat the study using futures data, the results are similar to those stated.
I can't find any variations that are even remotely similar to VTO's reported results for the NDX/QQQQ. Even with futures the system has been flat from around the end of 2001.
Dow variations are even worse.
Only SPX variations seem to have any hope! But even the best results have >50% drawdowns. Perhaps with some proper stops and money management...