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|Subject: Re: Blending at a Whole New Level||Date: 7/24/2008 1:45 AM|
|Author: Zeelotes||Number: 211455 of 265177|
I'd be interested in seeing this!
Elan's point was that he opted to use Sharpe/GSD over Treynor/GSD due to some issues he felt existed in Treynor/GSD. Both of these two measures were found to produce nearly the same results based on my various tests last November.
In thinking more on this I believe this is a mute point now. It is quite obvious to me that the better blending method per historical backtest is the use of one blend for bullish periods and a different blend for bearish periods. Treynor/GSD works great for both, but it does not come to the top of the list for either when the market is divided in this way.
Furthermore, as I look over the screens held I see a tremendous amount of cases where the same screen is held from the bullish to the bearish. That is why the turnover is just 50%. That is a whole lot lower than I expected.
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)?
I've tested based on 1-4 and 1-10. The conclusions came out the same. Refer to all my posts on this theme last November to see. All tables were built based on finding the results on the lower # of ranks and the higher # of ranks combined. But frankly, I never found that the one produced something significantly different than the other.
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