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Author: Zeelotes Big red star, 1000 posts Feste Award Nominee! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 253806  
Subject: Re: Blending at a Whole New Level Updated Date: 12/13/2012 1:17 PM
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The following takes the top ten measures and applies one of my better timing systems. In this case, there are only two bearish periods from 7/1/2007 to the present. I extended it back in time to take in the full brunt of the bear market from 2007 to 2009... in other words, to raise the bar and make it more difficult to have a position return. In this case, as with the previous backtest, during the bearish period I'm just sitting in One Year Treasuries. The S&P 500 drops over -5% during this time period.

        Measure          Sort   CAGR    GSD   Sharpe  DDD3    BBW   Drawdown
Sharpe/(GSD^x) DESC 19.88% 20.12 1.05 0.81% 19.42 -22.66%
Sharpe DESC 18.48% 22.42 0.92 3.63% 5.24 -29.61%
Sortino DESC 18.33% 22.05 0.92 2.72% 6.7 -30.26%
Treynor/(Beta^x) DESC 18.27% 21.01 0.94 1.60% 10.83 -21.14%
Treynor/(GSD^x) DESC 18.22% 21.5 0.93 1.24% 13.14 -22.64%
Jensen DESC 16.14% 24.86 0.78 5.41% 3.16 -36.76%
Ulcer Performance Index DESC 15.55% 19.9 0.86 3.59% 4.5 -30.79%
Best of Both Worlds DESC 15.49% 20.21 0.85 3.42% 4.65 -30.79%
Calmar DESC 15.26% 19.39 0.86 3.64% 4.35 -30.79%
Treynor DESC 12.56% 20.98 0.69 4.63% 2.87 -31.69%
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