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Investing/Strategies / Mechanical Investing
|Subject: Re: Blending at a Whole New Level Updated||Date: 12/13/2012 2:37 PM|
|Author: mungofitch||Number: 240537 of 264720|
If there is a moral to the story, it might be this:
If you're going to pick stocks mechanically and use backtests to
determine what methods work well, it makes sense to pick your screens
mechanically and use backtests to determine which of those work well.
As I recall, the test details include the following
- you use daily GSD (GDSd not GSDm)
- GSD^x is always squared in this list (x=2)
- four week hold cycle assumed unless there is a timing signal hit
- no reduction in the weight of duplicate picks, instead you reduce high-overlap
situations by pre-eliminating screens that have high average overlap ratios
- you recalculate the set of screens only once per year, based on all
the history up to the end of the year just ending for use the whole of the next
- Though I believe you have in the past done this separately for VL and
SIpro screens, I imagine this table of results based on selection from
the unified screen list of all "standard" long screens other than SOSs
and those eliminated due to high overlap of picks with another screen.
Does that all sound about right?
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