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Subject:  Re: The Best Measure for the Best Blend Date:  11/16/2007  12:51 PM
Author:  StevnFool Number:  203963 of 270822

No, the Sharpe and the GSD are both based on the same # of years. I 
do not have the ability to set them as different, at least, not as of 
right now. 


In this respect, what you have done and what I suggested / tested are 
different, but the basic idea is the same.

From your original post, you showed the table below.

             Minimum  Maximum  Median  Average
Sharpe/GSD     1.25     1.67    1.62     1.58

If I have interpreted your testing correctly, I understand that the 
variations in the resulting Sharpe is due to varying the lookback 
period.  Would you be able to post a table showing the resulting Sharpe 
ratio for all of the different lookbacks used for calculating 
Sharpe/GSD.  Given that the Maximum, Median and Average are grouped 
relatively closely it would seem that there is a fairly wide range of 
lookbacks that work quite well.


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