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Subject:  Re: Blending at a Whole New Level Date:  7/22/2008  3:52 AM
Author:  Zeelotes Number:  211387 of 258775

Todd asked:
When you are backtesting a blend based on "Sharpe ASC", this means that each year, you choose the five screens (ranks 1-4) which have, up to that point in time, the lowest historical Sharpe ratios among all of our VL screens. Is that correct?

Yes, that's right. Sharpe ASC is a good example of a measure that I consider useless. It ranks in position #17 out of 24 for both the bullish and bearish. That means it produces the same rank position in both periods. In contrast, Sharpe DESC ranks #1 in the bullish period, and #17 in the bearish period. That is a diff of 16. There are only a few measures that show such a contrast between the two. Correlation is another measure with a huge contrast between the two -- -21 and -20. Even greater than Sharpe. Here, why don't I share the whole table I built of these v