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Investing/Strategies / Mechanical Investing
|Subject: Re: The Best Measure for the Best Blend||Date: 11/24/2007 7:26 AM|
|Author: emintz||Number: 204270 of 265919|
What about the calculation of the Sharpe of the resulting optimization? Is this the Sharpe using the monthly granularity?
No, all that I have posted to date uses daily granularity.
Maybe it is just my own denseness, but I'm not clear what the columns represent in your data. Your daily/weekly etc. columns: is this the granularity of all the calculations, or the one on which you are optimizing, or the resulting measure after optimization?
My question really is this: if there are significant differences in the result of the optimization, using daily Sharpe as the measure, regardless of whether you are optimizing on Sharpe, GSD, or anything else: then might not there also be differences depending on whether you rank the optimization by final Sharpe based on annual instead of daily data?
You may have already explained this with your data, but I'm not getting it.
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