This Performance Visualizer provides additional performance metrics, extending the built-in
Performance view of Wealth-Lab 5. If you have a cool ratio to suggest, feel free to submit it by clicking "Discuss" and leaving a comment, or use this
Forum.
 Performance+ |
Features
MEGAN RatioThe MEGAN ratio was presented by Oscar G. Cagigas in January, 2009 issue of Technical Analysis of Stocks & Commodities. See
this article for more information.
Closed trade drawdownDisplays maximum drawdown based on closed trade equity, i.e. excluding unrealized trades.
- Max closed trade drawdown ($) + Max closed trade drawdown ($) date
- Max closed trade drawdown (%) + Max closed trade drawdown (%) date
Note: Does
not apply to Buy&Hold. Reason is obvious: Buy&Hold does not have closed trades. Ignore zero values in the Buy&Hold column.
Trade statisticsProvides various trade statistics:
- Total shares traded
- Average one-way Commission
- Performance ratio, Luck Coefficient
- Pessimistic Rate of Return - a statistical adjustment of the wins to losses ratio for the purpose of estimating the worst-expected return from previous results. It is calculated as follows:
 Wn = Number of Wins, Ln = Number of Losers,
AvgWinPct = Average Win %, AvgLossPct = Average Loss% |
Trade EfficiencyAverage entry (or exit) efficiency is defined as the sum of all maximum possible realized difference in prices from all trades that has the trade entry (or exit) price expressed as a part of the total profit potential divided by the number of trades. Average entry (or exit) efficiency shows how well a system enters into a trade (or exits from a trade.) Average total efficiency is the sum of realized differences in prices from all trades expressed as a part of the total profit potential divided by the number of trades. It shows how well the total moves of the trades has been used.
For more information, refer to the downloadable article by Leo Zamansky, Ph.D., and David C. Stendahl in Stocks & Commodities V15:10 (461-464):
Evaluating System Efficiency.
- Shows average Entry, Exit and Total trade efficiency.
Outlier tradesOutlier analysis is an important topic of its own and therefore should not be overlooked. An outlier trade exceeds the average trade by +/- 3 Standard Deviations, and can skew the results. The following performance metrics are reported here:
- Total, positive and negative outliers
- Profit of outlier trades
- Select Net Profit - profit after removing the results of all outlier trades.
Risk/rewardThese metrics help evaluate performance from the risk/reward standpoint:
Risk/reward ratio- Average risk/reward ratio
- Risk/reward ratio standard deviation
- Average risk/reward ratio (winning trades)
- Average risk/reward ratio (losing trades)
- Maximum risk/reward ratio
- Minimum risk/reward ratio
New highs/lows- Percentage of bars on which a new equity high is made
- Longest drawdown duration
Known issues
- Does not support printing.