The Motley Fool Discussion Boards

Previous Page

Investing/Strategies / Mechanical Investing

URL:  http://boards.fool.com/thanks-a-lot-zee-it-looks-like-63-is-probably-26878966.aspx

Subject:  Re: Blending at a Whole New Level Date:  8/6/2008  1:13 PM
Author:  StevnFool Number:  211779 of 253092

Thanks a lot Zee,

It looks like 6/3 is probably the one to stick with even with the lag as most measures are better with 6/3 rather than 12/6.

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

I just looked at RS26 in Jamie's Standard backtester.

It shows picks and returns for the month of July, but does not show a return for the S&P500. I think I recall Jamie saying before that the most recent months return may not be valid. If we assume that during the month of August, we have valid returns for up to the end of June, that would correspond to a lag of between 1 & 2 months.

Lets go with 2 months lag.

Can you also clarify exactly what you mean by lag in this backtest. Take for example the test with 12 months lag. If there was a bullish transition on 1 Mar 2005. Did you:

A. select the screens using data up to 1 Mar 2004

Or

B. select them using data up to the most recent bullish transition prior to 1 Mar 2004.

My intention was B, but I'm not sure if your backtester can handle it. If it is A. then you would expect the results to be worse as you are no longer selecting screens at the transition points.

StevnFool
Copyright 1996-2014 trademark and the "Fool" logo is a trademark of The Motley Fool, Inc. Contact Us