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[amibroker] Re: Sharpe Ratio



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Or use PSO to optimize on any combination of the performance metrics 
that result from running an optimization in AA in the form of almost 
any equation you care to write.

--- 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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