One of the most interesting strategies I've researched recently the PE/ 10 method of evaluating whether S&P 500 is under or over valued.
I'm quite confident in the validity of this system and believe it would be a robust proposition going forward. My main concern was data. For my testing I used the data from the Irrational Exuberance website, but didn't know how often if at all they update this. DShort also provide some updates so there's a potential back up there.
Thankfully I'm finding the data is updated on a month basis, but there appears to be a number of back revisions and I'm not sure what prices they are using for the S&P 500 because they don't relate to the records on yahoo. I'll see if I can get some clarity on this.
If anything it all goes to remind you of the importance of reality testing any strategy.
According to the model, the S&P 500 was still over valued in January, as it was in December. However, depending on the S&P 500 level to refer to, the trend filter may or may not have kicked in last month.