Then merges the resulting daily returns together just like an individual would.

Perhaps I am not the typical individual. I use five different screens and I don't merge the money between screens, even though some are in the same account. My thought process for not merging the money between screens is that if one screen is really not adding value (such as a data mined screen), I don't want to take money from a successful screen (one can only hope) and move the money to an unsuccessful screen. I do realize that if all the screens do add value, and are uncorrelated, then moving money between screens would be good. However, I have little confidence that all my screens add value, or are uncorrelated.

But, back to your blend. I think the backtester is doing as you say, which is merging the results together, by reducing money from the screen that has gone up and adds to the screen that has gone down.

Craig

Mechanical Investing FAQ

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