is a library of performance metrics used in Wealth-Lab's Strategy Rank and Optimization tools. It is a part of MS123 Visualizers. Typically, these can be strategy performance or especially reward/risk metrics.
The following metrics are included in the library:
- Profit per Bar ( APR % )
- Winning %
- Avg Profit %
- Avg Bars Held
- Maximum Drawdown %
- Maximum Drawdown of closed equity ($/%)
- Performance Ratio
- Select Net Profit
- Ulcer Performance Index
- MEGAN Ratio
- APD Ratio
- APAD Ratio
- Lake Ratio
- MAR Ratio
- Sharpe ratio
- Sortino ratio
- Wealth-Lab Score
- Entry/Exit/Total Trade Efficiency
- Average risk/reward ratio (for total, winning and losing trades)
- Expectancy (traditional)
- Profit Factor
- Recovery Factor
- Ulcer Index
- Sharpe ratio, on monthly and annualized basis
- Average drawdown %
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.
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 2012.12
- 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 a 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).
- New: MS123 Scorecard, Scorecard Lite: Average Drawdown %