Post #1234 by RAMc on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Aussie; As you pointed out the rebalance period and minimum hold period is different for
Screen 0 and screen 1 but I still believe the blender runs the two screens independently and
Then merges the resulting daily returns together just like an individual would.
However just to verify this doesn’t significantly change the results I have rerun the blend
Setting the rebalance to 1 for both screens and the minimum hold to 1 for both screens.
The modified blend:
https://gtr1.net/2013/blend.cgi?!!QlpoMTFBWSZTWcbE...
CAGR 19.76 from 19.3
SAWR 12.39 from 12.34
GSD 21.6 from 20.0
MDD -48.5 from -47.3
UI 8.8 from 8.2
Sharpe 0.93 from 0.96
AT 3.6 from 4.1
RAM

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