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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 8/6/2008 1:26 AM|
|Author: Zeelotes||Number: 211769 of 254659|
I see no statistically meaningful difference.
Yes, that is why I wrote:
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.
The bull signals have a lookback of six years of data. The bear signals have a lookback of three years of data. I found these to be more or less optimal. Using all the history, however, does not result in something significantly different than what I've posted. The lookback length, IOW, is not that important.
So yes, there is not much statistically meaningful... though you may change your mind slightly if you saw all the data I've seen on this theme. Still, the point remains, which lenght of lookback you use is not all that important.
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