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URL:  http://boards.fool.com/stevn-asked-lets-go-with-2-months-lag-can-you-26881152.aspx

Subject:  Re: Blending at a Whole New Level Date:  8/7/2008  7:51 AM
Author:  Zeelotes Number:  211794 of 251809

Stevn asked:
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.


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
Lag Months 1 2 3 4
CAGR 43.53% 42.08% 40.27% 43.78%
GSD 18.85 19.01 18.7 18.26
Sharpe 1.9 1.83 1.78 1.96
Ulcer Index 5.29% 5.42% 5.70% 5.30%
Average 10.46% 10.20% 9.76% 10.48%
Signal 82% 76% 76% 76%
Stock 74% 73% 71% 73%
Signal 79% 76% 74% 76%
Stock 72% 69% 70% 74%
Yrs >= Index 89.47% 89.47% 89.47% 94.74%
Yrs >= 0 100.00% 100.00% 100.00% 100.00%
Drawdown -26.42% -24.70% -27.57% -27.57%
Bullish 53.47% 52.80% 48.46% 52.43%
Bearish 28.28% 26.13% 26.95% 29.75%

Let me know if you have any further ideas for improving on this.
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