The Motley Fool Discussion Boards
Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 8/4/2008 9:40 PM|
|Author: Zeelotes||Number: 211737 of 263950|
In post 211390, you posted results for the VL universe from 1989 - 9th Nov 2007 and you show the following results using Sharpe for Bullish and Sharpe/GSD for bearish for selecting a 20 stock 5 screen blend.
FYI: All the posted results up to 11/9/2007 were done this way to make them comparable to last November's research. I did this simply because I did not want to rerun all those tests again, but I did want an apples to apples comparison.
I'm not quite sure what I am looking at below:
Unfortunately, the confusion comes from the fact that this is up to the present, not up to 11/9/2007.
Also, are the other columns only for the bear and bull periods
respectively or are they for the full period? if the latter, the
Sharpe for Sharpe/GSD at 1.83 seems very high when compared to the
resulting Sharpe of 1.57 for Treynor/GSD as reported in post 211385
considering that Treynor/GSD was considered better than Sharpe/GSD
for selecting a blend for holding in both bull and bear.
This is partly due to the advantage gained from re-selecting screens at the indicators transition points. I have not yet been able to arrive at a good explanation of why this improves on returns so much, but it most definitely does. IOW it would be better to just use the indicator and stay with the same measure than it would be to simply rebalance the screens you use at the end of