MS123 Scorecard
Modified on 2015/11/30 14:07 by Eugene — Categorized as: Visualizers
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
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 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
).