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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 8/7/2008 7:51 AM|
|Author: Zeelotes||Number: 211794 of 256698|
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
B. select them using data up to the most recent bullish transition prior to 1 Mar 2004.
I'm using A -- as you supposed, I cannot test B.
I ending up testing from 1 to 4 month lag and found that it's not a very smooth progression by any means.
Lookbacks 6 / 3 6 / 3 6 / 3 6 / 3
Let me know if you have any further ideas for improving on this.
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