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Subject:  Re: Blending at a Whole New Level Date:  8/8/2008  1:20 PM
Author:  StevnFool Number:  211823 of 265906


I'm getting wary of single start per month sorting of screens for a 3 
year lookback.

I calculated Sharpe/GSD for 148 "Standard VL" screens using data from 
Jamie's backtester from October 2004 through September 2007 - i.e. the 
three years prior to the last bear signal.

For a few of these screens I have also calculated Sharpe/GSD using the 
GTR1 backtester with a start date of 20041018 and an end date of 
20071017 with a 21 day hold.  I know these dates do not line up exactly 
but they are not all that far apart.

In all cases it was for holding ranks 1-5 HTD 10 and a friction of 1%.  
I used the HTD because I typically use HTD and I went with 1% friction 
as it favours less trading.  The results are dramatically different.

My conclusion is that there is just too much noise in a 3 year lookback 
with 1 start per month.

These are sorted in a descending sort by Sharpe/GSD calculated from the 
all day start backtester.  Compare the ranking of say NoMo and NoMoSafe 
by Single day versus All day Start.

I know it didn't come out top in your tests, but I'm leaning towards just
selecting a bull and bear blend now using all start data up to end of 2007
and using these blends for any switches this year until the 2008 data
becomes available in the GTR1 backtester.  I havent decided yet if I 
would use all history or the 6/3 lookback for this approach.


	         Single	AllDay
SomeMoSafe	 0.17	0.15
NoMoSafe	 0.13	0.14
YIELD4	         0.17	0.14
SomeMoC	         0.15	0.13
HIYIELD	         0.17	0.13
SomeMo	         0.17	0.13
NoMo	         0.19	0.09
CDPD	         0.12	0.09
PIH_CSO_simple	 0.06	0.08
3PT_SCV_pst	 0.15	0.08
YLDEARNYEAR	 0.08	0.08
YldDiv	         0.16	0.07
LPE_YLD	         0.09	0.06
SomeMoJoeSafe	 0.14	0.06
YLDEARNYEAR2	 0.06	0.05
YLDYEAR	         0.08	0.03

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