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Author: FlyingCircus Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253178  
Subject: Re: performance of screens Date: 2/12/2013 9:50 AM
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I use the spreadsheet in two ways. One, I am one of the few who does have a portion of my MI allocation assigned to "what's working lately". Other portions are assigned to reliably backtested and high quality post-discovery screens - of which there are a very manageable number to choose from. What's working lately is not that much "considerably more effort" to figure out. You set up a spreadsheet with the return and deviation comparison metrics and rankings columns of your choice, copy and paste in the 5 or 10 stock values periodically, review the rankings and decide.

Realizing that this approach is an experiment in style-chasing, it's not something I would recommend using for an entire portfolio. But I argue there's a place for it, instead of stubbornly sticking with a screen or an approach with a good backtest that has very visibly underperformed for some time.

The second way is as a post-discovery or backtest validation tool. A screen that pops to the top of those rankings that has a low quality history can quickly be checked for reliability or deviation from normal. (like Beta or Option_A). Also, one could analyze the consistency of screen performance rankings over time.

FC
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