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|Subject: Re: Blending at a Whole New Level||Date: 8/8/2008 4:34 PM|
|Author: StevnFool||Number: 211832 of 254712|
How many screens and stocks would you plan to hold at one time?
Zee in his testing has tended to always hold 4 stock per screen and mostly he tested holding a blend of 5 screens. That would be 20 stocks in total. In some of his recent testing, the best results came from holding between 4 and 6 screens. He made some comment about trying to decide between 5 or 6 screens.
4 screens = 16 stocks
5 screens = 20 stocks
6 screens = 24 stocks
I looked at how many stocks to hold in a blend some time last year and concluded also that 20 - 25 was about optimum. I can't recall exactly how I came to that conclusion. The Blend I am currently running which was developed late last year has 3 stocks in each of 8 screens = 24 stocks. I'll probably stick with this number.
Would you potentially be holding (for example) SomeMoSafe, NoMoSafe, and SomeMoC all at the same time, or would you eliminate screens with heavy overlap, and move further down the list?
I would look at the overlap using Jamie's Blender and see how many months have excessive overlap. See here for example.
This is a Blend of:
1 period with 1 stock
187 periods with 5 stocks
39 periods with 6 stocks
1 period with 7 stocks
To me this is way to much overlap - i.e. in most (187 out of 228) periods the picks are identical.
However, I currently have, NoMoSafe, SomeMoC, YLDEARNYEAR & YLDEARNYEAR2 in my blend. The overlap is not always as bad as you might initially think. I use HTD extensively which also helps with this problem.
I think I would probably only use one SomeMo variant and one NoMo variant.
If you decide to use an all-history lookback, would you pick a fixed starting point for all screens (say 12/1988)
I have used from 1989 onwards for the last couple of years, but with the GTR1 backtester, I may use less history if I want to include extra screens that do have as much history.
Is there a place to find the GTR1 'recipes' for the NoMo and SomeMo screens? I'd love to take a look at those.....
NoMOSafe 1-5 HTD 10:
SomeMoC 1-5 HTD 10:
By the way, the screens in my previous post are not necessarily the best of the 148 screens. They were just the ones where I had run them in the GTR1 backtester.
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