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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 253245  
Subject: Re: Blending at a Whole New Level Date: 7/22/2008 9:18 AM
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Well, that took some time, but here are the results. Needless to say, fixing that mistake resulted in quite an improvement.

Begin Date:     1/2/1989                                                                             
End Date: 11/9/2007

Bullish: Sharpe Sharpe Sharpe Sharpe
Desc Desc Desc Desc
Bearish: Sharpe/GSD Correlation Normalized Trough Count Ulcer Performance Index Russell 2000
Desc Asc Asc Asc
CAGR 48.58% 47.92% 48.85% 49.81% 9.19%
GSD 19.17 22.42 18.83 24.09 18.18
Sharpe 2.07 1.8 2.12 1.76 0.34
Ulcer Index 5.48% 7.33% 4.94% 7.23% 13.85%

Bullish:
Reb Win % 78% 78% 78% 78%
Screen Win % 68% 68% 68% 68%
Bearish:
Reb Win % 83% 78% 83% 76%
Screen Win % 71% 70% 76% 73%

Yrs >= Index 89.47% 89.47% 94.74% 94.74%
Yrs >= 0 94.74% 94.74% 100.00% 100.00% 68.42%
Drawdown -27.57% -41.06% -22.75% -34.97% -46.04%
Bullish 54.28% 54.28% 54.28% 54.28% 9.52%
Bearish 30.44% 31.38% 30.43% 31.27% -3.45%

Years ROI ROI ROI ROI ROI
1989
67.99% 68.38% 68.38% 69.21% 14.22%
1990 0.84% -4.94% 0.64% 5.74% -21.45%
1991 93.46% 121.44% 92.09% 117.26% 43.68%
1992 69.87% 43.25% 48.39% 43.38% 16.36%
1993 42.28% 56.07% 30.40% 48.68% 17.00%
1994 30.27% 45.81% 26.68% 51.10% -3.18%
1995 91.62% 77.48% 90.28% 74.66% 26.21%
1996 39.90% 37.59% 37.09% 30.25% 14.76%
1997 41.36% 47.19% 48.15% 56.14% 20.52%
1998 36.26% 3.74% 37.70% 18.91% -3.45%
1999 144.16% 151.31% 142.16% 135.41% 19.62%
2000 77.02% 51.61% 87.86% 73.27% -4.20%
2001 37.17% 57.99% 49.53% 37.45% 1.03%
2002 35.77% 27.87% 42.84% 15.71% -21.58%
2003 36.15% 29.30% 32.95% 64.13% 45.37%
2004 43.54% 53.87% 46.94% 39.87% 17.00%
2005 56.08% 63.13% 63.10% 62.68% 3.32%
2006 15.58% 16.54% 18.13% 20.49% 17.00%
2007 13.03% 34.59% 13.14% 40.64% -2.75%
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