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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 7/25/2008 8:20 PM|
|Author: Zeelotes||Number: 211516 of 254691|
I'm thoroughly confused now. I thought your earlier table on the subject showed Sharpe at the top for the bullish period and Sharpe/GSD for the bearish period.
That is what was found as the absolute best measures to sort with when only VL data from 1989 to 2008 was used. My conclusions at the bottom of this thread are based on that test combined with a test of the SIPRO universe from 1999-2008 and another VL test from 1978 to 1988. I simply used the rank function and found the best for each universe and then averaged those ranks to arrive at the final list of what was optimal.
You'll note in my post just above your last one I showed the returns for 2008 using these various measures. The Sharpe/GSD would have resulted in a gain to date of 15.99%, while the absolute best measure of Ulcer Index returned 19.18%. Even Sharpe as the sort, which it wouldn't be due to the bearish enviroment since last October per my NH-HL signal, returned 13.14%. I'd venture a guess that nearly all of the results in that table exceed nearly everyone's experience this year.
My point is this: adopting this strategy will beat any randomly chosen method, or employing something based on anecdotal evidence. Which one you choose from the top is not as important as choosing one and mechanically using it.
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