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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 7/23/2008 11:18 PM|
|Author: Zeelotes||Number: 211450 of 264122|
Not a terribly monumental issue, but I notice that the new trading method raises bullish CAGR by 5 points, lowers bearish CAGR by half a point, but lowers overall CAGR by a little more than a full point. How can that be?
Why? Because updating these spreadsheets from one computer to the other using Remote Desktop sometimes results in me forgetting what I updated and what I didn't. Those bits were some that I obviously didn't. Got the main bits, but not the details. I'm happy though to see that someone is paying attention to the details. I sure do.
No Sig in
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.
Do you mean Treynor/GSD or just Treynor? I can post all of the historical screens selected if interested.
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.
Yes, that is very possible. It has a 50% turnover rate for this combination. Which means that there is certainly not as high a turnover rate as would be the case with many other combinations.
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