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|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/17/2007 1:13 PM|
|Author: klouche||Number: 203986 of 253806|
I don't see a mound of toast in this data, but it may be my eyes are a bit blurred at this point in the game. Let me know what the proposers think of these results.
On the Valueline only I get correlations below:
Looks like not much variation with parameter .75 to 2.
The correlation between GSD and Ulcer is near perfect.
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