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URL:  http://boards.fool.com/choosing-a-blend-based-on-momentum-alone-this-26109788.aspx

Subject:  Re: The Best Measure for the Best Blend Date:  11/17/2007  8:50 PM
Author:  Zeelotes Number:  204006 of 253506

Choosing a Blend Based on Momentum Alone

This test finally completed. It is set up the same way as I did in the Sharpe/GSD^x post -- three screens are selected from VL and three from SIPRO and then blended to form a total of six screens with ranks 1-4 for a total hold of 24 stocks. The period examined is 1999 to present.

I used lookbacks from 20 to 240 market days allowing them to be different for VL and SIPRO -- the lookback days are on the left side of the table. The following very long table is sorted by the resulting Sharpe Ratio.

It appears that VL requires a short lookback, while SIPRO requires a longer lookback. But 40/50 comes in at position #5 in the sort so one cannot arrive at a very fixed statement regarding this. I was expecting the lookback to favor something around 200 or so meaning these results are not what I thought.
VL   SIPRO   CAGR    GSD   Sharpe  Ulcer Index
40 140 40.00% 32.66 1.21 11.88%
60 140 39.71% 32.61 1.2 12.27%
60 180 39.32% 32.38 1.2 12.23%
40 180 39.64% 32.43 1.2 11.86%
40 50 38.64% 32.11 1.19 12.32%
60 50 38.15% 32 1.18 12.99%
40 90 38.42% 32.22 1.18 12.38%
40 40 38.68% 32.51 1.18 11.95%
40 100 38.75% 32.5 1.18 12.32%
60 90 38.04% 32.12 1.17 12.93%
40 60 38.29% 32.55 1.17 11.56%
60 40 38.36% 32.46 1.17 12.33%
60 100 38.39% 32.45 1.17 12.87%
70 140 38.84% 33.5 1.16 13.89%
60 130 37.80% 32.49 1.16 12.39%
40 130 38.18% 32.56 1.16 11.97%
40 110 37.47% 32.49 1.15 11.97%
60 80 37.46% 32.48 1.15 12.12%
40 120 37.47% 32.49 1.15 11.97%
40 80 37.64% 32.52 1.15 11.80%
70 180 38.45% 33.27 1.15 13.78%
60 60 37.81% 32.54 1.15 11.92%
60 120 37.08% 32.42 1.14 12.39%
40 20 36.96% 32.26 1.14 11.97%
60 110 37.08% 32.42 1.14 12.39%
40 30 37.13% 32.42 1.14 12.62%
210 220 36.85% 32.12 1.14 13.95%
240 220 37.68% 33.02 1.14 15.02%
70 40 37.47% 33.34 1.13 13.82%
60 30 36.74% 32.31 1.13 13.20%
70 90 37.14% 33.05 1.13 14.74%
60 20 36.55% 32.21 1.13 12.38%
70 100 37.50% 33.38 1.13 14.59%
40 150 36.96% 32.6 1.13 12.30%
60 150 36.86% 32.55 1.13 12.62%
80 140 38.25% 34.25 1.13 14.62%
70 50 37.25% 32.95 1.13 14.55%
210 200 36.65% 32.4 1.13 14.04%
240 200 37.49% 33.21 1.13 15.21%
30 180 36.33% 32.23 1.12 12.84%
80 180 37.92% 34.04 1.12 14.49%
30 140 36.62% 32.53 1.12 12.87%
200 220 37.04% 33.17 1.12 15.17%
210 210 36.11% 32.2 1.12 14.85%
240 210 36.80% 32.92 1.12 17.06%
70 130 36.94% 33.39 1.11 14.02%
40 160 36.22% 32.65 1.11 12.50%
40 70 36.10% 32.53 1.11 11.86%
30 50 35.51% 31.94 1.11 13.35%
70 60 36.95% 33.4 1.11 13.51%
200 200 36.80% 33.42 1.11 15.29%
70 110 36.22% 33.32 1.1 14.03%
60 70 35.80% 32.53 1.1 12.19%
30 40 35.38% 32.32 1.1 12.95%
80 50 36.83% 33.68 1.1 15.30%
30 100 35.39% 32.36 1.1 13.49%
80 100 36.94% 34.09 1.1 15.35%
70 120 36.22% 33.32 1.1 14.03%
80 40 36.99% 34.09 1.1 14.55%
70 80 36.58% 33.38 1.1 13.78%
80 90 36.57% 33.76 1.1 15.58%
60 160 35.92% 32.59 1.1 12.87%
200 210 36.13% 33.16 1.1 16.27%
210 230 35.38% 32.25 1.1 14.35%
240 230 36.17% 33.13 1.1 15.40%
70 20 35.67% 33.1 1.09 13.93%
50 140 35.69% 33.04 1.09 15.38%
70 30 35.82% 33.28 1.09 14.92%
40 170 35.18% 32.5 1.09 12.45%
30 60 35.16% 32.35 1.09 12.53%
30 90 35.08% 32.11 1.09 13.60%
140 140 34.96% 32.16 1.09 14.76%
80 60 36.59% 34.14 1.09 14.16%
70 150 35.97% 33.46 1.09 14.27%
220 220 36.01% 33.18 1.09 15.19%
90 140 36.08% 33.78 1.08 14.64%
50 180 35.26% 32.8 1.08 15.34%
140 180 34.59% 31.97 1.08 14.63%
60 170 34.99% 32.44 1.08 12.79%
90 180 35.74% 33.56 1.08 14.53%
80 130 36.40% 34.11 1.08 14.72%
30 130 34.86% 32.41 1.08 13.00%
200 230 35.58% 33.3 1.08 15.55%
220 200 35.81% 33.42 1.08 15.31%
240 240 36.37% 34.47 1.08 17.75%
80 110 35.71% 34.04 1.07 14.72%
80 120 35.71% 34.04 1.07 14.72%
30 80 34.41% 32.35 1.07 12.78%
80 80 36.02% 34.11 1.07 14.50%
210 240 35.62% 33.66 1.07 15.69%
220 210 35.15% 33.16 1.07 16.95%
70 70 34.94% 33.4 1.06 13.78%
160 140 34.31% 32.51 1.06 15.87%
50 50 34.02% 32.43 1.06 16.23%
30 20 33.73% 32.05 1.06 12.99%
30 110 34.17% 32.34 1.06 13.01%
160 180 33.98% 32.28 1.06 15.34%
110 180 33.25% 31.53 1.06 14.50%
30 120 34.17% 32.34 1.06 13.01%
140 40 33.65% 32.03 1.06 14.67%
80 20 35.24% 33.84 1.06 14.60%
70 160 35.04% 33.49 1.06 14.51%
110 140 33.57% 31.76 1.06 14.62%
80 30 35.31% 33.94 1.06 15.67%
90 50 34.65% 33.21 1.06 15.30%
50 100 34.31% 32.89 1.06 16.17%
200 240 35.79% 34.67 1.06 16.96%
230 220 34.77% 33.35 1.06 15.42%
90 90 34.42% 33.26 1.05 15.62%
140 50 33.29% 31.65 1.05 15.91%
140 90 33.17% 31.69 1.05 16.66%
50 90 33.95% 32.58 1.05 16.39%
90 40 34.81% 33.62 1.05 14.60%
150 180 35.13% 34.45 1.05 17.64%
90 100 34.78% 33.6 1.05 15.38%
140 100 33.56% 32 1.05 16.09%
150 140 35.49% 34.66 1.05 18.14%
170 180 34.67% 33.72 1.05 15.53%
50 40 34.25% 32.88 1.05 15.37%
80 150 35.28% 34.17 1.05 14.97%
30 30 33.81% 32.31 1.05 13.79%
170 140 35.04% 33.92 1.05 15.67%
220 230 34.55% 33.3 1.05 15.55%
230 200 34.60% 33.6 1.05 15.49%
140 60 33.13% 32.15 1.04 14.47%
90 60 34.37% 33.7 1.04 14.23%
90 130 34.21% 33.65 1.04 14.76%
50 130 33.85% 32.93 1.04 15.47%
50 60 33.74% 32.86 1.04 15.13%
30 150 33.54% 32.43 1.04 13.44%
70 170 34.11% 33.34 1.04 14.44%
140 130 33.11% 32.03 1.04 14.86%
230 210 33.91% 33.3 1.04 17.32%
160 90 32.54% 32.03 1.03 18.05%
110 100 32.28% 31.61 1.03 15.39%
160 50 32.78% 31.91 1.03 17.03%
160 40 33.04% 32.37 1.03 15.34%
20 140 33.73% 33.48 1.03 16.68%
160 100 32.93% 32.35 1.03 17.47%
80 160 34.45% 34.17 1.03 15.19%
140 80 32.73% 32.03 1.03 14.69%
110 50 32.18% 31.2 1.03 15.33%
80 70 34.44% 34.11 1.03 14.45%
110 40 32.34% 31.59 1.03 14.58%
50 80 33.22% 32.91 1.03 15.32%
30 70 32.95% 32.28 1.03 12.92%
90 80 33.86% 33.64 1.03 14.53%
220 240 34.77% 34.67 1.03 17.69%
110 60 31.89% 31.66 1.02 14.27%
180 140 33.66% 33.64 1.02 16.12%
170 100 33.65% 33.76 1.02 16.89%
140 150 32.15% 32.02 1.02 15.04%
170 50 33.36% 33.32 1.02 16.67%
160 60 32.58% 32.42 1.02 15.01%
170 40 33.73% 33.79 1.02 15.57%
150 40 34.20% 34.51 1.02 17.51%
140 110 32.42% 31.94 1.02 14.86%
90 110 33.53% 33.57 1.02 14.77%
180 180 33.33% 33.46 1.02 15.67%
170 90 33.26% 33.42 1.02 17.36%
140 120 32.42% 31.94 1.02 14.86%
30 160 32.74% 32.49 1.02 13.72%
150 100 34.06% 34.5 1.02 19.79%
90 120 33.53% 33.57 1.02 14.77%
160 130 32.42% 32.39 1.02 15.99%
20 180 33.38% 33.24 1.02 16.60%
50 120 33.10% 32.86 1.02 15.48%
100 140 32.25% 32.03 1.02 13.88%
150 50 33.75% 34.13 1.02 19.48%
50 110 33.10% 32.86 1.02 15.48%
110 90 31.94% 31.33 1.02 15.79%
230 230 33.30% 33.45 1.02 15.78%
140 30 31.91% 31.85 1.01 16.58%
90 20 33.05% 33.38 1.01 14.66%
160 80 32.13% 32.39 1.01 15.78%
100 180 31.92% 31.78 1.01 13.79%
90 30 33.15% 33.47 1.01 15.70%
50 30 32.63% 32.79 1.01 16.44%
90 150 33.14% 33.68 1.01 15.05%
150 130 33.61% 34.54 1.01 18.28%
80 170 33.47% 34.03 1.01 15.13%
50 20 32.51% 32.63 1.01 15.45%
140 20 31.90% 31.79 1.01 14.76%
50 150 32.70% 33.01 1.01 15.63%
150 90 33.63% 34.15 1.01 20.35%
130 140 31.48% 31.47 1.01 14.99%
170 130 33.16% 33.79 1.01 15.78%
170 60 33.17% 33.83 1.01 15.27%
150 60 33.68% 34.62 1.01 17.21%
110 130 31.74% 31.63 1.01 14.75%
110 110 31.07% 31.54 1 14.75%
170 80 32.85% 33.8 1 15.58%
20 100 32.36% 33.3 1 18.07%
110 120 31.07% 31.54 1 14.75%
130 180 31.12% 31.25 1 14.86%
20 50 32.11% 32.85 1 17.84%
110 80 31.40% 31.6 1 14.50%
30 170 31.82% 32.31 1 13.62%
160 110 31.73% 32.32 1 15.99%
160 120 31.73% 32.32 1 15.99%
20 40 32.46% 33.31 1 16.60%
150 80 33.34% 34.56 1 18.02%
230 240 33.51% 34.81 1 18.03%
20 60 32.00% 33.38 0.99 16.39%
180 50 32.13% 33.11 0.99 17.26%
160 30 31.27% 32.21 0.99 17.98%
110 30 30.71% 31.47 0.99 15.73%
90 70 32.26% 33.66 0.99 14.57%
140 160 31.28% 32.04 0.99 15.24%
100 100 31.03% 31.87 0.99 14.46%
100 50 30.96% 31.43 0.99 14.37%
20 90 31.97% 33.09 0.99 18.52%
160 150 31.42% 32.43 0.99 16.26%
120 140 30.42% 31.01 0.99 14.85%
100 40 30.99% 31.86 0.99 13.90%
180 90 31.90% 33.13 0.99 18.20%
50 160 31.95% 33.06 0.99 15.83%
170 110 32.46% 33.71 0.99 15.79%
140 70 31.13% 32.08 0.99 14.68%
150 110 32.92% 34.47 0.99 18.28%
160 20 31.25% 32.11 0.99 15.47%
50 70 31.64% 32.86 0.99 15.33%
180 100 32.29% 33.48 0.99 17.68%
170 120 32.46% 33.71 0.99 15.79%
110 20 30.61% 31.34 0.99 14.64%
180 40 32.40% 33.56 0.99 15.72%
90 160 32.29% 33.7 0.99 15.30%
150 120 32.92% 34.47 0.99 18.28%
170 30 31.99% 33.62 0.98 17.38%
150 150 32.70% 34.54 0.98 18.46%
20 130 31.96% 33.37 0.98 16.74%
150 30 32.36% 34.34 0.98 20.36%
180 60 31.90% 33.6 0.98 15.37%
180 130 31.74% 33.51 0.98 16.25%
150 20 32.41% 34.29 0.98 17.78%
170 150 32.26% 33.87 0.98 15.94%
130 40 30.21% 31.31 0.98 14.89%
100 90 30.73% 31.59 0.98 14.62%
120 180 30.05% 30.8 0.98 14.73%
110 150 30.70% 31.66 0.98 15.03%
170 20 31.94% 33.54 0.98 15.66%
130 90 29.76% 31.08 0.97 16.74%
140 170 30.34% 31.89 0.97 15.18%
100 60 30.58% 31.92 0.97 13.49%
180 80 31.53% 33.53 0.97 16.01%
20 120 31.28% 33.3 0.97 16.74%
50 170 30.91% 32.89 0.97 15.77%
130 100 30.12% 31.33 0.97 16.27%
20 110 31.28% 33.3 0.97 16.74%
130 50 29.86% 30.93 0.97 16.10%
20 80 31.52% 33.39 0.97 16.65%
150 70 31.71% 34.55 0.96 17.41%
150 160 31.77% 34.56 0.96 18.72%
160 160 30.48% 32.48 0.96 16.50%
130 60 29.70% 31.45 0.96 14.55%
170 70 31.21% 33.81 0.96 15.49%
100 80 30.05% 31.9 0.96 13.74%
110 70 29.83% 31.62 0.96 14.60%
180 110 31.06% 33.44 0.96 16.25%
130 130 29.68% 31.34 0.96 15.09%
180 120 31.06% 33.44 0.96 16.25%
170 160 31.33% 33.9 0.96 16.16%
90 170 31.32% 33.56 0.96 15.23%
20 20 30.78% 33.07 0.96 16.68%
20 150 30.92% 33.48 0.96 16.88%
110 160 29.85% 31.68 0.96 15.28%
20 30 30.74% 33.21 0.96 18.48%
160 70 30.52% 32.39 0.96 15.30%
120 40 29.13% 30.85 0.95 14.74%
180 30 30.65% 33.37 0.95 18.20%
180 20 30.59% 33.29 0.95 15.80%
120 100 29.11% 30.83 0.95 15.85%
120 50 28.85% 30.45 0.95 15.68%
100 120 29.76% 31.82 0.95 14.01%
100 110 29.76% 31.82 0.95 14.01%
120 90 28.77% 30.59 0.95 16.27%
130 80 29.42% 31.37 0.95 14.92%
180 150 30.83% 33.57 0.95 16.50%
100 30 29.46% 31.76 0.95 14.81%
100 150 29.34% 31.97 0.94 14.36%
160 170 29.57% 32.31 0.94 16.45%
130 150 28.83% 31.35 0.94 15.29%
100 20 29.28% 31.59 0.94 13.94%
120 130 28.64% 30.87 0.94 14.95%
150 170 30.86% 34.41 0.94 18.65%
170 170 30.42% 33.73 0.94 16.10%
130 120 29.00% 31.26 0.94 15.10%
120 60 28.63% 30.96 0.94 14.44%
130 110 29.00% 31.26 0.94 15.10%
120 80 28.31% 30.89 0.93 14.80%
110 170 28.91% 31.53 0.93 15.22%
20 160 30.15% 33.5 0.93 17.00%
20 70 29.99% 33.41 0.93 16.54%
130 30 28.51% 31.16 0.93 16.78%
130 20 28.50% 31.08 0.93 15.00%
180 70 29.89% 33.57 0.93 15.63%
120 110 27.95% 30.8 0.92 14.95%
100 70 28.50% 31.9 0.92 13.90%
180 160 29.83% 33.6 0.92 16.75%
100 160 28.51% 31.99 0.92 14.62%
120 120 27.95% 30.8 0.92 14.95%
130 70 27.85% 31.38 0.91 14.78%
20 170 29.19% 33.37 0.91 16.98%
130 160 27.89% 31.36 0.91 15.49%
120 30 27.51% 30.68 0.91 16.25%
120 150 27.74% 30.89 0.91 15.15%
120 20 27.44% 30.61 0.91 14.85%
180 170 28.95% 33.44 0.9 16.70%
100 170 27.57% 31.84 0.89 14.56%
120 160 26.85% 30.9 0.89 15.36%
130 170 27.07% 31.22 0.89 15.44%
120 70 26.75% 30.9 0.88 14.68%
120 170 25.99% 30.76 0.86 15.30%
100 130 17.32% 43.65 0.52 27.49%

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