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Subject:  Re: MSS - sharpe 1.98 Date:  8/27/2000  12:14 PM
Author:  rharmelink Number:  78219 of 275505

http://gritton.org/ws/switch/?86990101djOVbwbs113l3USTpq15Up1c0

I can't remember any screen for which Jamies engine is reporting such a high sharpe ratio [1.98]. Is there anything wrong? CAGR is not so impressive, "only" 58%, GSD is very low at 20. Some screen for those who are more risk orientated, than CAGR hunting?


When I looked at your screen, I noticed that your "low screen" actually underperforms the index during its share of the method. I replaced it with RS4 2-4 (and changed the PEG13 to 2-4 as well):

http://gritton.org/ws/switch/?v86000101djSTrm24USTpq24Up1c0

It increases both CAGR (to 66%) and the Sharpe ratio (to 2.24).
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