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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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