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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 8/7/2008 9:18 AM|
|Author: StevnFool||Number: 211797 of 266264|
It is interesting that the single start doesn't seem to hurt all that much.
12 month Lag All start gave a Sharpe of 1.87
Average Sharpe of 1 - 4 month lag with single start is 1.86
Average Sharpe of 1 - 2 month lag with single start is 1.865
This would perhaps suggest we should use single starts if the data is fresher.
I ending up testing from 1 to 4 month lag and found that it's not a very smooth progression by any means.
What follows is pure speculation. You mentioned earlier in this thread of getting an average of 5.5 signals per year. Presumably this equates to 2.75 bull signals and 2.75 bear signals per year. Expressed in a different manner this equates to 4.36 months on average between similar signals. Note that your best return was for 4 months lag where you may have on average been aligning better with a previous similar signal. If this theory is correct, a 5 month lag should not be much worse than a 4 month lag and a 6 month lag should drop off further.
If this were the case, it would support the idea of using single start data from Jamie's backtester and selecting screens using data up to the most recent previous similar signal.
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