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Investing/Strategies / Mechanical Investing
|Subject: Re: YEY in GTR1 SI universe||Date: 2/23/2013 4:05 PM|
|Author: mungofitch||Number: 241840 of 253050|
Any suggestions on how to improve the screen so that the results would better match the YEY+ results?
A few things you might try
I'd try replacing the "top 2.5%" with "top N", and try various values of N.
Or, if you stick with top N%, try values other than 2.5. I found good luck with 3% with YLDEARNYEARPLUS.
Final sort using RRS is often quite nice.
I usually find a period a little over a year is better, even up to 300-340 days.
Or, similarly, just try a bigger lag on your "old" sma(250,10)
If you're going to use two SMAs, the most recent one probably needs a fair bit more lag.
You'd be amazed how old the momentum sort recent date can be and still work.
GTR1 has a cool facility for trying lots of different values for a given
parameter at the same time, have you tried that?
It leads rapidly to overtuning if you push it, but for trying to find
the basic range of plausible values it's great.
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