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Author: tetranomad One star, 50 posts Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254161  
Subject: Re: SoWR and New Relative Value Screen Date: 2/10/2013 1:18 AM
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GSD, Sharpe, etc. need improving. Corrections, comments and
suggestions would be appreciated.


Nice screen. BarryDTO quite rightly pointed out that the SoWR method has less (over)tuning possibilities, with the important exception of the weighting factors. I notice that this screen has some unusual and rather precise looking weights. John W - how did you arrive at these values and how robust/brittle are the results to changes in their values? I note that if you set them all to 1, except for the rrs weights to 2, then CAGR and GSD go down a little, Sharpe is a little better and DD improves

Mark
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