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I think you are walking down a blind alley. For any given time period,
some system will be the best. The problem is that systems don't
stay the best. Take a look at What Works on Wall Street.
James P. O'Shaughnessy compared a lot of different stock selection
criteria. He found that some criteria worked very well for a decade
or more, but lost money over the long haul. He isolated the best
performing strategy over the long haul, but the mutual funds
based on this strategy have massively underperformed
the overall market over the last few years.
== Rob ==
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