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Subject:  Re: Blending at a Whole New Level Date:  7/23/2008  11:04 PM
Author:  elann Number:  211447 of 271128

Use Robbie's backtester at the end of each year to get the daily portfolio values for each of the major screens. You can start by using what I've just posted to get the Gold, Silver and Bronze screens. Then calculate the Treynor/GSD on each of them using the spreadsheet on my blog, or that others have shared. Choose the top five screens and buy ranks 1-4 from each for the whole year. Repeat this process at the end of each year. I'd guess it would take about 5-10 hours to accomplish this. But you'd only do it once a year. I wouldn't think that is too much time to invest for your future.

Hey, why are you giving away all my secrets?


Actually I ended up using Sharpe/GSD because Treynor seems to have kind of a strange behavior when ranking screens. For some reason it occasionally rewards screens that don't look very good to me.

I think that if I tried choosing screens with Sharpe for bullish periods and Sharpe/GSD for bearish periods I would end up with fairly similar blends for both periods. i.e. Some of the screens would appear in both blends, reducing total turnover.


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