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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 253523

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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