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Sharpe is an okay secondary performance measurement but not something
I'd want to optimize on by itself as it has a tendancy to arbitrarily
push the number of trades down which is fine until it starts to
affect other things like CAR / MDD which I'm really much more
interested in any way. So for me it's one of those numbers that all
other things being equal I'll take the results with higher Sharpe.
--- In amibroker@xxxxxxxxxxxxxxx, "danielwardadams"
<danielwardadams@xxxx> wrote:
>
> Thanks Dave. I just downloaded the framework and, although I don't
> understand it (yet), I'm totally impressed! You have put a lot of
> thought (and work) into this.
>
> Dan
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > Take a look at the Auto-Optimization Framework in the AFL
library.
> It does
> > something like this, though as it stands, not with Sharpe ratio.
> Instead of
> > running an AB backtest to calc whatever performance metrics
you're
> going to
> > use, cycle through the stocks under test in code, and calculate
> those
> > metrics yourself.
> >
> > Dave Merrill
> >
> >
> > > Re (from Joe): "BTW - If you're using the AB AutoAnalyser
routine.
> > > wouldn't the backtesting report give you the Sharpe Ratio. "
> > >
> > > Yes -- but that's why I asked about programmatic access. It may
be
> > > beyond my meager skills but I've been thinking of doing
individual
> > > backtests over a set of stocks and then, as second step, do a
> > > portfolio level backtest using the Sharpe ratios from the first
> step
> > > as the position scoring method.
> > >
> > > The problem is that results from the first test need to be saved
> > > somewhere to be accessible to the second step. But I think this
> might
> > > be possible using some combination of static or dynamic
variables
> > > (or -- worst case -- in a file).
> > >
> > > Has anybody done anything similar to this and, if so, any
> suggestions
> > > would be appreciated.
> > >
> > > Dan
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