The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing


Subject:  Re: Blending at a Whole New Level Date:  7/24/2008  12:59 AM
Author:  lsmr409 Number:  211454 of 270534

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.


I have forgotten -- when ranking and selecting screens on a measure like Sharpe or Treynor/GSD, what number of stocks do you generally base the ranking on? For some reason, I recall that the ranking was based on 1-10 -- is that correct, or is it 1-4 (or something else)?

Copyright 1996-2018 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us