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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 7/23/2008 11:52 PM|
|Author: elann||Number: 211451 of 257505|
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 meant Treynor/GSD. Treynor alone favors very aggressive screens.
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