I used the monthly data from Ken French's website. I went long the market if the index was above its 10 month moving average, went to T-bills otherwise, where 'the market' is the value-weighted US composite. The arithmetic return was slightly higher simply always being long (10.7% vs. 10.0%), but given the volatility of the long-only rule was 50% higher, its geometric return was about the same (9.3% vs. 9.2%). The Sharpe ratio using this index data suggests the market timing rule significantly helps one's investment, taking it from 0.30 to 0.46 in this 1926-2008 period.
Long vs. Market Timing Based on 10-Month Moving Avg.
The result is pretty robust, in that it does not drop off dramatically using a 6-month moving average, or an 18-month moving average.
You can see that the main periods of outperformance were from the 4 big bear markets: 29-33, 73-75, 2000-02, and 2007-08. Perhaps in a simple moving average rule is a wise investment strategy. I would want to look at international data to become more certain, but it's interesting.