Comment by pyrrhotech

Yes, in fact non-bull regimes are where they earn most of their relative outperformance. During buy signals, it's impossible for the models to outperform as they are long the S&P 500. During sell signals, they are in cash with the hopes of rebuying lower (doesn't always work out as they are of course imperfect). When the market is rising with low volatility, there aren't as many opportunities for outperformance.