Post #2003 by Aussi on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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Just noted today that for my 2 step Nasdaq100 strategy you need to watch out for the fact that 50/ -1 = -50/ 1 so you can get anomalies if you don't exclude 1 year returns that are negative, since we don't want a low ratio of 1 wk/ 1 yr based on last week being a big positive return divided by a negative annual return.
If you require 1 yr>0 it is better to avoid this. That way a low ratio of 1 wk/ 1 yr will mean "bad last week, good in the last year".

I don't think the GTR1 screen you referenced gets negative returns. I think the return is just less than 1. (tr(1,265) varies from 0 to infinity).

Aussi

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