No. of Recommendations: 9
Assuming i've entered it in correctly, this is the equivalent on the GTR1 backtester:...

Looks right to me.

A more interesting view (to me) is how it blends, since that's a lot of the reason for suggesting it.

The following figures are from the monthly-start backtester (sorry).

Monthly volatility isn't the best metric of risk, especially for value
screens (ref skew comment), so as a risk metric I use downside deviation.
I use MAR=0 for rolling-3-month periods because I don't like losing capital,
and MAR=10% for rolling-12-month periods because I need to make money.
The average of the two is a handy single-number risk metric.

I'll take the H52 screen as a proxy for a typical positive-momentum screen.

On that basis,
the simple H52 screen (which I like incidentally) is CAGR 28.1, risk 6.60
the Safety_Floor screen is CAGR 20.6%, risk 5.10
a 50-50 blend of the two is CAGR 25.3%, risk 3.38
So, that's only about half the risk of the momentum screen alone,
while knocking CAGR down only 2.8 points.

The reason for the unusual risk metric is that these screens correlate
reasonably well at the month-to-month level, but are almost opposites
in many full year periods, so this metric captures the improved

For example, other rolling-year metrics show it different ways.
Probability of a positive rolling year:
H52 85.1%, Safety_Floor 87.6%, blend 95.6%
Worst rolling year
H52 -30.9%, Safety_Floor -24.2%, blend -13.7%
20th percentile rolling year
H52 6.0%, Safety_Floor 5.4%, blend 10.6%
Standard deviation of rolling year returns (simple, not geometric)
H52 27.2%, Safety_Floor 18.2%, blend 17.5%
Median year minus 2 standard deviations
H52 -24.7%, Safety_Floor -12.5%, blend -9.4%

But, for those who like the monthly stats, the following are through end-2007 only
H52 23%, Safety_Floor 18%, blend 16%
...and Sharpe
H52 1.07, Safety_Floor 1.01, blend 1.29

Nothing earth shattering. The idea is simply to pick something
very uncorrelated to the rest of the things you're doing which still
has a positive expectation.

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