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URL:  http://boards.fool.com/look-back-value-6-6-20-20-look-back-value-3-20-3-26877734.aspx

Subject:  Re: Blending at a Whole New Level Date:  8/6/2008  12:58 AM
Author:  elann Number:  211767 of 253798


Look-back Value 6 6 20 20
Look-back Value 3 20 3 20
CAGR 45.88% 46.22% 43.56% 43.89%
GSD 19.84 20.29 19.06 19.53
Sharpe 1.92 1.9 1.89 1.87
Ulcer Index 5.47% 6.33% 5.34% 6.53%
Average 11.48% 11.62% 10.72% 10.86%
Signal 84% 84% 82% 82%
Stock 76% 76% 74% 74%
Signal 79% 71% 79% 71%
Stock 71% 71% 71% 71%
Yrs >= Index 90.00% 90.00% 95.00% 95.00%
Yrs >= 0 100.00% 100.00% 100.00% 100.00%
Drawdown -27.57% -27.57% -27.57% -27.82%
Bullish 59.23% 59.23% 54.71% 54.71%
Bearish 29.89% 30.64% 29.89% 30.64%


I see this clearly pointing to a better result for 6/3. I have a backtest I ran on all measures that consistently put these two lookbacks to the top and that is the primary basis of my selecting these two lookbacks.

I see no statistically meaningful difference.

Elan
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