Hi,
I did the back-test on excel from data obtained from Yahoo Finance for Nifty and Gold Bees from 2008. The algo applied was what you mentioned. Long on either of Gold/Nifty bees depending on which is maximum and outperforming 3% return over 210 days (30 weeks), else going long on liquid bees which will give 3%/30 return over a week. Please find attached the excel sheet.
1st sheet contains raw data. Analysis sheet contains analysis. Due to certain data not available for both indices on common dates, some weeks (36 weeks in total) have been excluded from analysis. My results for the same are 16.45% CAGR return over the period with 18.43% draw-down. Also yearly and monthly return is present on the next sheet. Please let me know in case there is anything I am missing.
Disclaimer: My 1st post here, so please excuse me in case of any mistakes.gold_nifty bees_v2.xls (503.5 KB)