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Author: FLARAM 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 251797  
Subject: Re: performance of screens Date: 2/12/2013 5:33 PM
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It had appeared that WWN or WWL had fallen out of favor.

Not for everyone. I have been continuously monitoring and improving a version
of WWL for several years now. I have a genetic optimizer that continually compares
weighting factors to see what performance you would have achieved from 1999 to
present using different strategies of WWL to select the screens to invest on based
on past CAGR and GSD to that point in time. The optimizer gives different results
depending on what you state as your goals (Max CAGR, Sharp, Min Ulcer index or
weighted combinations of the factors). For most people minimizing a wild ride with a
minimum Ulcer index would have been achieved by picking screens by their CAGR/(GSD^1.6).
Better overall performance can be achieved with a wilder ride by choosing screens with
the best combination of long term and 9 month performance.

RAM
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