MS123 Scorecard

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Description

MS123 Scorecard 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:

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.

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 fastest speed.

Notes

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 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 fastest speed.

Notes

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).