Avoiding overlaps

Posted December 26th, 2007 by mo24

Is there by any chance a feature on the backtester that allows a person to skip overlaps in a backtested blend and choose the next ranked stock in a screen?

When generating screen picks for various combinations of screens, i've noticed that there is a fairly high overlap, particularly at the top ranks in many screens. Ideally, I wouldn't want to overweight a portfolio in a small handful of stocks if the same ones appeared in multiple screens, but it's difficult to determine how the backtested returns would be affected by skipping the overlaps.

Perfromance of Short Screens since July ›

Currently, no. Based on

On January 2nd, 2008 Keelix said:

Currently, no. Based on tests done by myself and others, and assuming you are running a blend with at least 10 picks or more, chances are that the differences should not be anything major. Unless you are running a blend with highly correlating screens, such as the Gentle_Screamers/GS family or similar. Having said this, I have some other software where I could possible run a test for you if you would like to describe what kind of blend you would like to test.