The reason I mention fees is that if you rebalance frequently and have high fees the fees can kill your profit.  Therefore when back testing any strategy one would want to account for fees.  Similarly if you try do diversify using individual stocks you have to take trading fees into account and if you use ETFs there are also fees.<p>What you do with dividends also matters so ideally any algorithmic strategy you come up with takes that into account.  For me not being in the US (Canada) currency exchange rate can at times dominate the returns.<p>There are a lot of newer ETF products on the market so it&#x27;s going to be difficult to back test a strategy that uses ETFs.<p>At any rate, it looks interesting, I might play with it a little, but I don&#x27;t think it works for me right now for investment purposes.  I do my rebalancing yearly on a spreasdsheet :)