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Modified on 2010/07/07 15:31 by Eugene Categorized as Community Visualizers

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Description¶

Community Visualizers is a group of 2 Performance Visualizer libraries for Wealth-Lab 5 that extend the built-in analysis capabilities. After installing this Extension from the Wealth-Lab site, enable your new visualizers in Preferences > Performance Visualizers.

The following visualizers are included in Community.Visualizers:

The following visualizers are included in WealthLab.Visualizers.Extra (closed source; should automatically appear in the Extension Manager of Wealth-Lab Pro 5):

Analysis Series View
Monte Carlo Visualizer

Discuss and suggest your ideas on the Forum.

Download Project Source Code (2010.07)¶

This source code will help you get started building your textual, tabular and graphical Visualizers as well as Scorecards for strategy optimization and ranking. You can find its zipped source code by clicking on "Attachments" on top of the page. Wealth-Lab Developer/Pro customers who can't see "Attachments" - please enter a new support ticket at wealth-lab.com.

WealthLab.Visualizers.Extra Revision History¶

2010.05

Added: Analysis Series - toggle to dollar amounts from percentages (requested for backtesting futures)
Fixed: Monte Carlo - unhandled exception (input string was not in a correct format)

2009.12

Added: Monte Carlo Visualizer (MCV)

2009.07

Baseline released, includes:
- Analysis Series View (a Community.Visualizers spinoff by Fidelity request)
Fixed:
- Analysis Series View:
  - The histogram bins now properly correspond to the horizontal axis of the graph plot
  - Improved look

Community.Visualizers Revision History¶

2010.07

Added: Portfolio Inspector.

2010.06

Added: Win Rate + Profit Factor now accepts user-defined number of trades (requested by mikesblack)

2010.03+

Added: Cash curve to Strategy Equity + % Drawdown. Requested by wl64bit.
Added: Payoff ratio based on absolute values (WL5 shows percentage-based Payoff ratio) to Performance+. Requested by acrjr.
Fixed: "Performance+" right alignment for columns
Fixed: "Win Rate + Win/Loss ratio" renamed to a much more suitable "Win Rate + Profit Factor". The lower chart was always plotting the rolling Profit Factor anyway.
Fixed: Sortino ratio was mistakenly calculated using negative returns (should be: total monthly returns). Thanks to Philippe (phuber) for spotting this.

2010.02

Added: Wealth-Lab Score to Community.Scorecard. Requested by Dave Aronow.
Added: some metrics from Basic Scorecard to Community.Scorecard for convenience: NetProfit, Profit per Bar / APR %, Winning %, Avg Profit %, Avg Bars Held.
Added: Sharpe ratio to Community.Scorecard. Requested by icolville@colvillenet.com.
Added: New Highs/Lows performance metrics to Performance+: percentage of bars on which a new equity high is made, longest drawdown duration.
Added: every Visualizer has an online help link in its context menu (right click - "More info..")
Added: Trade Stability now highlights outlier trades with different color (dark green/red)
Changed: Trade Stability color scheme, removed 3D look
Fixed: Sortino ratio accounts for the user-specified risk-free rate.
Fixed: internal cosmetic fixes to Trade Stability.

2010.01

Added: Trade numbers in Trades+. Requested by Bryce (bgood).
Added: Jump to Position when user double-clicks any graph of the WinRate/WinLoss tab. Requested by Bryce (bgood).
Added: Max Drawdown % to Community.Scorecard.
Changed: possible to install in Wealth-Lab 5.6 or higher.

2009.12

Added: RiskStopLevel (+AutoProfitLevel) to be also exported to clipboard and to file in Trades+. Requested by Adrien (akardar1).
Added: Number of trades to Community.Scorecard (requested by dan_rozenberg).
Added: Sortino ratio to Community.Scorecard and Performance+ (requested by Andrew (avishn)).
Fixed: Bugs in risk/reward and APD/APAD ratios calculation for futures. Affected Performance+, Risk/Reward and Community.Scorecard. Thanks to Adrien (akardar1) for pointing out and suggesting a fix.

2009.11

Fixed: Andrew (avishn) found and fixed a bug in all Trade Efficiency calculations. Thank you for the excellent contribution!
Fixed: optimized the ListViewSortManager class to use Generics instead of ArrayLists in hope of better speed, lower memory consumption
Changed: possible to install in Wealth-Lab 5.5 or higher
Changed: for unification with WL5, the names of two visualizers were changed: "Trades V2" became "Trades+", "Performance Extras" - "Performance+". Please re-select them in Preferences - Performance visualizers!

2009.10

Added:
- New Visualizer: "Risk/Reward ratio"
- Performance Extras: Risk/reward ratio (average, standard deviation etc.)
- Community Scorecard: Average risk/reward ratio (for total, winning and losing trades)

2009.09

Added:
- New Visualizers:
  - "Portfolio Inspector" (requested privately, available exclusively to registered Wealth-Lab Developer 5 customers by creating a support ticket)
  - "Trade Life" (requested by dansmo)
- New Library:
  - "Community Scorecard" - a collection of performance metrics to be used in Strategy Ranking and Optimization (next to Basic and Extended scorecards). Now it's possible to Rank and Optimize by performance metrics the Wealth-Lab community is interested in.
  - Baseline includes: Ulcer Performance Index (requested by Ray60), MEGAN Ratio, Maximum Drawdown of closed equity ($/%), Performance Ratio, Select Net Profit, APD Ratio, APAD Ratio, Lake Ratio, K-Ratio, MAR Ratio and Entry/Exit/Total Trade Efficiency
- Trades V2: added Entry/Exit/Total Trade Efficiency
- Performance Extras: Average Entry/Exit/Total Trade Efficiency %, Ulcer Performance Index (requested by Ray60)
Changed:
- Dropped support for Wealth-Lab Developer 5.1. The library will only work with Version 5.4 and higher.

2009.07

Removed:
- Analysis Series View - by Fidelity request, re-released as a standalone visualizer
Added:
- Several reward/risk ratios to Performance Extras: APD & APAD Ratio (requested by swuzy), MAR Ratio, K-Ratio
Fixed:
- Strategy Equity + Drawdown%, Net Profit+ Drawdown%: now work with symbol rotation strategies in Portfolio Simulation mode (requested by ss161)
- Performance Extras: closed equity drawdown, avg.commission wrong for all but "All Trades"

2009.05

Added 2 never before seen visualizers:
- A combo chart of rolling Win Rate % + Win/Loss ratio
- Trade Stability chart
Fixed:
- The Unzoom bug that affected "Strategy Equity + Drawdown" after running the same Strategy window more than once and zooming in
- A pesky bug in Analysis Series that caused an exception dialog in some Strategies
Changed:
- Internal optimizations in some visualizers: curve drawing performance, faster collections

2009.03

Added:
- Unzoom by double-clicking the chart (applies to all Zoom-enabled visualizers).
Added new visualizer:
- Closed Equity Drawdown (%) (by request of Dave Aronow)
Added new performance metrics to Performance Extras:
- Closed trade drawdown (by request of Dave Aronow)

2009.01

Added new visualizer:
- Analysis Series View
Added new performance metrics to Performance Extras:
- Select Net Profit - profit after removing profit from all outlier trades.
- Seykota Lake Ratio - for details, see Ed Seykota's site.
Changed:
- Trades V2 now also reports the number of trades not included due to insufficient capital.

2008.12

Added new visualizer:
- Performance Extras
Added moving average(s) of drawdown to the Drawdown (%) performance visualizer
Added linear/log scale selection to Strategy Equity + Drawdown % and Closed Equity. (Learn more about Log Charts vs. Linear Charts; by request of HappyLoser)

1.1.0.0

Added new visualizer:
- Trades view with Priority (by request of redliontrader)
Fixed:
- Added "$K" to Y scale labels of the Strategy Equity and Percent Drawdown PV

1.0.1.1

Baseline released

Notes¶

ZedGraph was chosen as the charting component for the already included and possible future Visualizers. Reasons:
- supports printing, copying to clipboard and saving into files
- powerful (everything except for 3D charts), fast, configurable
- very small footprint (120K compressed)
- free, open source, possible to use in commercial apps

Right click menu is generally unified with built-in visualizers. Basically it contains these features:
- Copy Chart to Clipboard
- Copy Data to Clipboard
- Save as... (graphic file in a variety of vector/bitmap formats)
- Unzoom (Restores state of scale to default)
- Change Scale (Switches between linear and log scale of equity)

Equity and Drawdown curves are semi-transparent near initial values and get most saturated color at their extremes. In other words, the red gets darker as the drawdown deepens, the green gets darker as the profit is higher. All visualizers (except the Contribution chart which displays static values) share this idea.

When mousing over a chart, a tooltip will hint of equity value, drawdown depth etc.

Known issues¶

Because ZedGraph is not TeeChart, it handles zoom and un-zoom events in a different manner. If you try to un-zoom the good old Wealth-Lab way (click and drag backwards), you'll just zoom the chart even more. To unzoom, simply double-click on the chart, or use a special context menu "Unzoom" that restores scale to default.
Possible bug in ZedGraph results in high CPU load when mousing over the chart to display tooltips in Windows Vista (only). This does not happen in Windows XP.