Zee,Thanks for doing this. You indicate that your first test started in 1999. Did you mean 1989?I don't believe there is evidence here to suggest that any other value is superior to the default value of 1.00. It is interesting that in terms of resulting Sharpe, using Sharpe/GSD (X = 1) instead of Sharpe (X = 0) seems to help when there are SIPRO screens in the mix, but has little impact on resulting Sharpe when limited to Valueline screens. It does result is a lower GSD though which is not a bad thing.My vote would be to stick with Sharpe/GSD (X=1). I'm not sure how much better it is as a predictor over Sharpe alone, but your results would suggest that it is not any worse.StevnFool
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