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|Subject: Re: Optimizing Blends with Sharpe/(GSD^x)||Date: 11/17/2007 9:48 PM|
|Author: elann||Number: 204010 of 255326|
Can you explain the difference between the two results?
The test in this thread is based on ranks 1-4, while the test in the previous thread is off of ranks 1-10. I purposefully chose a lookback of 20 years for this test because the Sharpe and Sharpe/GSD had the exact same resulting Sharpe from the backtests. I wanted to put them on an even footing. Here is a table showing Ranks 1-10 as I posted before with Ranks 1-4 on the right side for comparison.
This demonstrates how easy it is to lie, or be misled, by statistics. I don't think you meant to lie or mislead. But by presenting only the 20 lookback for the 4 stock screens in the prior message, I thought you were saying there was no difference between ranking by Sharpe and ranking by Sharpe/GSD. I don't think that was the intended conclusion.
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