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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 7/23/2008 6:40 AM|
|Author: Zeelotes||Number: 211414 of 252531|
So, are you saying that instead of choosing one blend for the whole year, the results could be a lot better if we chose one blend during bullish period and a different blend during bearish period, within the year?
Yes, although the "within the year" bit is far from certain. There can be long periods where you stay in the same blend, but also times when you will switch more often.
Is the blend for both kind of periods decided at the beginning of the year, or do you find it just when the switch signal occurs?
Just when the switch signal occurs.
And, you are saying that the measure to use for identifying the best screens to use is Sharpe during bulling period and Sharpe/GSD during bearish period?
Yes, that is one of the best. The others that I've posted all do well. The absolute highest Sharpe comes from Normalized Trough Count, but that is probably a bit difficult for most to calculate. Plus, the difference is so minor between the two that they can be chalked up as no more than noise.
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