Imagine I constructed a decent trading strategy. I am rather happy with it and want to keep it as my reference say as a "Baseline Strategy".
The other day I get some new ideas and start to modify code, parameters, indicators, some small improvements (or not?) here and there.
Now, whenever I run a backtest with the new, modified strategy I am interested to see how much it improved in comparison to the good old "Baseline Strategy".
So it would be nice if WL was able to "remember" all the stats of my Baseline Strategy and show these side by side with the latest backtest results:
* extra columns in Metrics Reports for "Baseline Strategy"
* a second equity curve for direct comparison
* an additional drawdown curve
* second series of bars in Periodic Returns
* and so forth
The other day I get some new ideas and start to modify code, parameters, indicators, some small improvements (or not?) here and there.
Now, whenever I run a backtest with the new, modified strategy I am interested to see how much it improved in comparison to the good old "Baseline Strategy".
So it would be nice if WL was able to "remember" all the stats of my Baseline Strategy and show these side by side with the latest backtest results:
* extra columns in Metrics Reports for "Baseline Strategy"
* a second equity curve for direct comparison
* an additional drawdown curve
* second series of bars in Periodic Returns
* and so forth
Rename
...Previously known as Snapshots (WL6) and Reports-Lab (WL4).
http://www2.wealth-lab.com/WL5WIKI/pvSnapshots.ashx
http://www2.wealth-lab.com/WL5WIKI/pvSnapshots.ashx
All the required data like Strategy code and backtest results are already exposed. My point is, it should already be possible for a WL extension developer to implement a Snapshots-like visualizer with equal capailities in V7.
QUOTE:
it should already be possible for a WL extension developer to implement a Snapshots-like visualizer with equal capabilities in V7.
Perhaps I'm misunderstanding the original intent, but I was thinking the extension developer as composing an extension that would do a relative comparison of two separate strategies executing on the fly (real-time). In other words, one would define a baseline strategy from which to compare all others on the fly, such that both strategies must execute together for the real-time comparison. I like that idea.
What I was thinking of doing is defining a buy-and-hold benchmark strategy so I could compare the new strategy with buy-and-hold just like WL6 can do. Moreover, I want to develop a ScoreCard metric that would compare buy-and-hold performance with strategy-under-test performance. In other words, I need both the buy-and-hold performance and strategy-under-test performance to be made available to the ScoreCard calculation.
All the ScoreCard metrics available today are too general and don't provide performance comparisons with a benchmark equity curve so one can evaluate the robustness of a strategy over difficult times.
This #FeatureRequest is now implemented as the new
Compare Tool
It is announced in this promotion post:
https://www.wealth-lab.com/Discussion/Compare-Tool-Show-up-to-four-backtest-results-side-by-side-7578
And available from Build 4 of finantic.Scorecard Extension:
https://www.wealth-lab.com/extension/detail/finantic.ScoreCard
Compare Tool
It is announced in this promotion post:
https://www.wealth-lab.com/Discussion/Compare-Tool-Show-up-to-four-backtest-results-side-by-side-7578
And available from Build 4 of finantic.Scorecard Extension:
https://www.wealth-lab.com/extension/detail/finantic.ScoreCard
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