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URL:  http://boards.fool.com/stevn-asked-could-i-ask-you-to-run-the-12-month-26878554.aspx

Subject:  Re: Blending at a Whole New Level Date:  8/6/2008  11:27 AM
Author:  Zeelotes Number:  211778 of 252783

Stevn asked:
Could I ask you to run the 12 month lag test with 12/6 lookback instead of 6/3 to confirm if my theory is correct that a longer lookback can in some way make up for the lag?

                                        6 / 3       12 / 6
12 Mth LAG 12 Mth LAG
No Sig in No Sig in No Sig in
One Mth One Mth One Mth
Begin Date: 1/2/1989 1/2/1989 1/2/1989 1/2/1989
End Date: 11/9/2007 11/9/2007 11/9/2007 11/9/2007

Bullish: Sharpe Sharpe Sharpe Sharpe
Desc Desc Desc Desc
Bearish: Sharpe/GSD Sharpe/GSD Sharpe/GSD Sharpe/GSD
Desc Desc Desc Desc
CAGR 48.58% 47.48% 41.43% 41.24%
GSD 19.17 19.61 18.19 18.49
Sharpe 2.07 1.99 1.87 1.84
Ulcer Index 5.48% 5.33% 6.28% 6.90%
CAGR/UI 8.86 8.91 6.60 5.98

Bullish:
Reb Win % 78% 84% 76% 82%
Screen Win % 70% 76% 71% 73%
Bearish:
Reb Win % 83% 79% 68% 71%
Screen Win % 72% 71% 69% 71%

Yrs >= Index 89.47% 89.47% 94.74% 94.74%
Yrs >= 0 100.00% 100.00% 100.00% 100.00%
Drawdown -27.57% -27.57% -26.99% -30.13%
Bullish 59.79% 59.23% 52.90% 53.60%
Bearish 30.43% 29.89% 24.88% 24.77%

Years ROI ROI ROI ROI
1989
67.99% 67.99% 64.39% 64.39%
1990 0.84% 4.45% 3.18% 1.47%
1991 93.46% 92.93% 108.81% 105.67%
1992 69.87% 67.97% 68.93% 66.07%
1993 42.28% 44.85% 52.17% 43.88%
1994 30.27% 25.97% 21.96% 23.04%
1995 91.62% 72.75% 84.24% 82.98%
1996 39.90% 41.37% 40.71% 39.56%
1997 41.36% 43.55% 46.24% 46.49%
1998 36.26% 30.93% 6.23% 2.77%
1999 144.16% 127.36% 32.48% 23.14%
2000 77.02% 81.13% 76.88% 76.35%
2001 37.17% 37.41% 13.41% 36.98%
2002 35.77% 35.77% 12.85% 11.79%
2003 36.15% 36.15% 35.43% 32.98%
2004 43.54% 41.12% 46.19% 49.40%
2005 56.08% 57.70% 53.07% 43.81%
2006 15.58% 12.73% 27.24% 36.68%
2007 13.03% 19.01% 30.52% 30.40%

Also, are you calculating Sharpe and GSD using an all day start like the GTR1 backtester or a single start like Jamies backtester. If a single start is sufficient, we could probably use a shorter lag.

Single start. How much shorter a lag do you suggest?
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