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URL:
http://boards.fool.com/here-are-a-few-more-data-points-to-consider-26881762.aspx
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Subject:
Re: Blending at a Whole New Level
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Date:
8/7/2008
11:13 AM
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Author:
Zeelotes
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Number:
211801 of 243410
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Here are a few more data points to consider:
Lookbacks 6 / 3 6 / 3 6 / 3 6 / 3 6 / 3 6 / 3 6 / 3 6 / 3
Lag Months 1 2 3 4 5 6 7 8
CAGR 43.53% 42.08% 40.27% 43.78% 42.64% 42.68% 44.24% 44.13%
GSD 18.85 19.01 18.7 18.26 18.14 18.78 18.81 18.8
Sharpe 1.9 1.83 1.78 1.96 1.94 1.88 1.95 1.94
Ulcer Index 5.29% 5.42% 5.70% 5.30% 5.45% 5.65% 5.88% 6.02%
Average 10.46% 10.20% 9.76% 10.48% 10.34% 10.40% 10.89% 10.81%
Signal 82% 76% 76% 76% 82% 82% 82% 76%
Stock 74% 73% 71% 73% 73% 72% 73% 72%
Signal 79% 76% 74% 76% 74% 74% 74% 68%
Stock 72% 69% 70% 74% 73% 75% 72% 69%
Yrs >= Index 89.47% 89.47% 89.47% 94.74% 94.74% 94.74% 94.74% 94.74%
Yrs >= 0 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
Drawdown -26.42% -24.70% -27.57% -27.57% -24.70% -24.70% -27.57% -27.57%
Bullish 53.47% 52.80% 48.46% 52.43% 52.09% 52.28% 56.32% 58.48%
Bearish 28.28% 26.13% 26.95% 29.75% 29.01% 28.89% 27.27% 24.95%
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