Hi, The best thing IMHO would simply to write your formula to get only Sharpe ratio over 1 and then run the exploration each week and put the results in a watchlist.
Louis 2008/7/22 Boris Kanevsky <[EMAIL PROTECTED]>: > Louis P. wrote: > > Hi, > > > > I think it is possible, but you would have to re-run your scan every > > morning to adjust your Sharpe Ratio list. There was a long thread > > about the best 500 stocks as related to how close they are to their 52 > > weeks high and this might interest you. > > > > Best of luck, > > Louis > > > > 2008/7/22 Boris Kanevsky <[EMAIL PROTECTED] <lanbor%40rcn.com> <mailto: > [EMAIL PROTECTED] <lanbor%40rcn.com>>>: > > > > Dear All, > > > > I am trying to create watch list of stocks with "Sharpe ratio" > > > 1.00. > > This benchmark would be generate for individual stock, back tasting > > for the same time period using "buy" and "sell" conditions. > > > > Is it possible to create such a benchmark in Amibroker? > > > > > > > Hi Louis, > I would have to re-run my scan every week or month to adjust your > Sharpe Ratio list. > Regards, Boris. > >
