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URL:  http://boards.fool.com/todd-asked-not-a-terribly-monumental-issue-but-i-26840719.aspx

Subject:  Re: Blending at a Whole New Level Date:  7/23/2008  11:18 PM
Author:  Zeelotes Number:  211450 of 243426
Todd asked:
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
                            One Mth
Begin Date:     1/2/1989    1/2/1989
End Date:      11/9/2007   11/9/2007
                               
Bullish:        Sharpe      Sharpe
                 Desc        Desc
Bearish:      Sharpe/GSD  Sharpe/GSD
                 Desc        Desc
    CAGR        48.58%      47.48%
    GSD         19.17       19.61
   Sharpe        2.07        1.99
Ulcer Index     5.48%       5.33%
                               
Bullish:                       
  Reb Win %       78%         84%
Screen Win %      70%         76%
Bearish:                       
  Reb Win %       83%         79%
Screen Win %      72%         71%
                               
Yrs >= Index    89.47%      89.47%
  Yrs >= 0      100.00%     100.00%
  Drawdown      -27.57%     -27.57%
  Bullish       59.79%      59.23%
  Bearish       30.43%      29.89%
                               
    Years         ROI         ROI
    1989        67.99%      67.99%
    1990        0.84%       4.45%
    1991        93.46%      92.93%
    1992        69.87%      67.97%
    1993        42.28%      44.85%
    1994        30.27%      25.97%
    1995        91.62%      72.75%
    1996        39.90%      41.37%
    1997        41.36%      43.55%
    1998        36.26%      30.93%
    1999        144.16%     127.36%
    2000        77.02%      81.13%
    2001        37.17%      37.41%
    2002        35.77%      35.77%
    2003        36.15%      36.15%
    2004        43.54%      41.12%
    2005        56.08%      57.70%
    2006        15.58%      12.73%
    2007        13.03%      19.01%

Elan wrote:
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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