Response to the G-SPAM (baby)...
I love the idea of accounting for volatility - this would put some statistical analysis behind my "multiple personality" teams. However, some of the results make me question whether or not the parameters you've set are giving you what you think you have.... ok, confusing sentence, but basically i'm saying, are you sure the G-SPAM is giving you a better indicator of future performance than the original box?
The original Box picks a team to cover the spread based on past performance against the average team. The G-SPAM averages ratios that factors in volatility, hopefully reducing the risk of multiple personality teams.
However, why would the G-SPAM pick NYG +1.5, when both the alpha and SHARPE ratios pick Dallas? Since the Alpha and SHARPE ratios take into account peformance against the average team AND volatility, it would seem that if they agree on Dal, then Dal would be the pick when averaged. This is not the case. Any theories?
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