A couple thoughts, based solely on my recollection of researching the strategy a few years ago:
- It requires a fair amount of work
- It wasn't designed as a way to maximize returns, but as a way to get a consistent return from a volatile asset (more like what raven15 suggested above)
- In theory, it could beat a buy/hold strategy if the conditions are right:
- It exploits the volatility of the investment, so you have to use something highly volatile (like small value)
- The investment must have a positive future return; the higher the better
- You must be able to predict the future return nearly perfectly
- Your trading costs are near zero
I decided against implementing it, as I did not fully understand all the nuances, and feared I was missing something. There are no free lunches.