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The following metrics are included in the library:

- NetProfit
- Profit per Bar ( APR % )
- Number of Trades
- Winning %
- Avg Profit %
- Avg Bars Held
- Maximum Drawdown Duration
- Maximum Drawdown $ (in RP mode) / % (in Port.Sim mode)
- Maximum Drawdown of closed equity ($/%)
- Average drawdown %
- Average Entry/Exit/Total Trade Efficiency
- e-ratio
- Average risk/reward ratio (for total, winning and losing trades)
- Performance Ratio
- Select Net Profit
- MEGAN Ratio
- APD Ratio
- APAD Ratio (by Beau Wolinsky)
- Seykota Lake Ratio
- K-Ratio
- MAR Ratio
- Ulcer Performance Index
- Sharpe ratio, on monthly and annualized basis
- Sortino ratio
- Upside Capture ratio, Downside Capture ratio, and Capture ratio
- Wealth-Lab Score
- Exposure
- Expectancy
- Expectancy (traditional)
- Profit Factor
- Recovery Factor
- Ulcer Index
- Max Consecutive Winners/Losers

To use the library, select "MS123 Scorecard" on the dropdown list in Strategy Ranking or Optimization tools - it's next to the Basic or Extended scorecards.

To download the project's open source code, please visit MS123 Visualizers.

- optimized closed equity algorithm (works 2 times faster)
- added a new scorecard that does not contain any performance metrics based on closed equity: "MS123 Scorecard (No closed equity)". Select this if you want to execute large optimizations of intraday strategies creating thousands of positions at fastest speed.

- Several metrics are not available in Raw Profit mode - namely Sharpe ratio, Sortino ratio, Ulcer Performance Index, MEGAN ratio, Max drawdown of closed equity, K-Ratio, MAR Ratio, Upside/Downside capture ratio and Capture Ratio. Switch to Portfolio Simulation mode to utilize them.
- Sortino ratio uses
*monthly*returns (complete months only). - There are two Sharpe ratio versions: the Wealth-Lab figure (annualized) and the one that uses monthly returns (complete months only; numbers are slightly different from Wealth-Lab's own metric).
- Sharpe ratio and Sortino ratio account for the user-specified risk-free rate (
*Preferences - Backtest Settings*).

==Lite version: No closed equity==

As calculating closed equity could get very slow for large intraday backtests with systems creating thousands of positions, we've made two optimizations in version

- optimized closed equity algorithm (works 2 times faster)
- added a new scorecard that does not contain any performance metrics based on closed equity: "MS123 Scorecard (No closed equity)". Select this if you want to execute large optimizations of intraday strategies creating thousands of positions at fastest speed.

- Several metrics are not available in Raw Profit mode - namely Sharpe ratio, Sortino ratio, Ulcer Performance Index, MEGAN ratio, Max drawdown of closed equity, K-Ratio and MAR Ratio. Switch to Portfolio Simulation mode to utilize them.
- Sortino ratio uses
*monthly*returns (complete months only). - There are two Sharpe ratio versions: the Wealth-Lab figure (annualized) and the one that uses monthly returns (complete months only; numbers are slightly different from Wealth-Lab's own metric).
- Sharpe ratio and Sortino ratio account for the user-specified risk-free rate (
*Preferences - Backtest Settings*).