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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:


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 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).

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


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