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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level||Date: 8/8/2008 9:48 PM|
|Author: Zeelotes||Number: 211838 of 265177|
I'm getting wary of single start per month sorting of screens for a 3
year lookback. ....
My conclusion is that there is just too much noise in a 3 year lookback
with 1 start per month.
I can appreciate that. Remember that although I'm using a single start per month to select the stocks held, the data I'm calculating off from is always daily, not monthly. I hadn't thought about this as it relates to your using it with just the monthly granularity, but I would be inclined to agree that it could be problematic.
I would be a whole lot more comfortable with your suggested solution of using daily data from the GTR1 for the year after it is available compared to using monthly data.
I havent decided yet if I would use all history or the 6/3 lookback for this approach.
It seems to me that whichever you choose is not that crucial. The main advantage of the system is not found in this question, but rather, in using a different blend for one period compared to another.
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