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Subject:  Re: SoWR and New Relative Value Screen Date:  2/11/2013  1:18 PM
Author:  BarryDTO Number:  241539 of 259779

I have used the Sum of Weighted Ranks (SoWR) procedure ...

Ah, someone other than tetranomad is looking at this approach - interesting. I thought I'd offer a few thoughts since my name is attached:

-- Mungofitch indicated he thought high volatility was sought here; however, it's actually low volatity that is emphasized as any weight is applied to the criteria "Volit" (because of the opposite sort applied in the ranking). As you seemed to indicate and someone else noted, bringing down the volatility of screen results would be helpful. A simple run of your screen as is, but parameterizing the weight given to the Volit criteria indicates a weight of 70 seems to do the job:

shows a 20-stock CAGR/GSD/Sharpe of 34 / 23 / 1.44 (versus your original 43 / 37 / 1.26), and 10-stock results of 36 / 24 / 1.40 (versus your 51 / 44 / 1.25)

-- Tetranomad cautioned against optimizing against too many selection criteria and parameters. I've also said in earlier posts that I'm not a big fan of the "kitchen sink&qu