My What's Working Lately endeavors would make a nice chapter in Fooled by Randomness. For several years I ran a genetic optimizer optimizing on different look back periods, Sharp . . . and everything else, similar to Zee's postings around '05. For a while 4 to 9 month CAGR to GSD performance looked promising. Lately I simply been choosing screens each month with the best Long term CAGR / (GSD ^1.6). This along with an independent consensus of market timing signals seems to give decent performance with a livable ulcer index. (although not up to Zee's finesse)!RAM
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