This algo:

http://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5616&labelname=Chester&showLive=1&isTrading=0

has metrics: from 1990-2017: sharpe 13, performance 66%.

I assume it uses futures, correlation, ML. 

There are dozens of algos with similar perfromance, from different authors. So the aproach must be pretty obvious.

There is another one that uses stocks, wich sharpe 5.7, performance 220%:

https://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5650&labelname=Piersicuta3101&showLive=1&isTrading=0 

Bonds: sharpe 4.5, performance (only :) 16%.

https://www.quantiacs.com/Contact/Chart.aspx?symbolname=fee-quant-5666&labelname=qaqee1004d&showLive=1&isTrading=0

Any ideas?

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