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.
- 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).