IRR-and-custom-Metrics-Report

Hi,

I've tagged your topic as #FeatureRequest so hopefully it could be implemented if it gains enough following. Don't forget to go to Wishlist and like it there (that's how topic starters can vote for their requests). I remember having built a custom performance visualizer for XIRR for WL6 so maybe one day we can reuse this.

As for building a custom metrics report, please find the necessary API documentation here:

https://www.wealth-lab.com/Support/ExtensionApi/ScoreCard
https://www.wealth-lab.com/Support/ExtensionApi/PerformanceVisualizer

You can already create a customer Scorecard and metrics report using the Extension API. See Support, Extension API, Scorecard in the web site nav menu.

https://www.wealth-lab.com/Support/ExtensionApi/ScoreCard

Thank you. I'll see if I can figure out the API. BTW why is the feature request for an IRR in the "Completed Features" section?

QUOTE:
BTW why is the feature request for an IRR in the "Completed Features" section?

I guess because "custom metrics report" has been an inherent feature of the application. I've restored the status to Open since your focus here is the IRR performance metric and not custom development.

Hi MustPlayOptions,
the IRR is defined with a series of cash flows. If you calculate the IRR for a WL Strategy, what would you use as "cash flow"?

@DrKoch

To develop the custom XIRR visualizer for WL6 I used a simple CSV file with history of account transfers (deposits, withdrawals) which powers up another solution:

"Backtesting deposits and withdrawals"
http://www2.wealth-lab.com/WL5WIKI/Transfers.ashx

In other words, strategy's Equity curve is not enough as it doesn't contain cash flow.

I may be showing my ignorance here, but my understanding of IRR is that it is a measure of the equivalent rate of return of potentially irregularly sized and irregularly timed positions, like in a private equity investment.

My issue with the metrics we have for backtesting now is that they don't really show what the actual rate of return is for the cash that is being deployed.

For example, I have a strategy that is 15% deployed capital and an APR of 9%. This is compared to a benchmark APR of 24%.

So which is really a higher rate of return?

If I do a 7 to 1 or even a 3 to 1 margin ratio of the strategy bringing it closer to full exposure, my APR (ignoring margin costs) for the strategy now beats the 24%.

If I keep it at 1 to 1 but only invest the benchmark at 15% of capital, that makes the strategy better too.

So I figured using the daily trades each day in an IRR calculation could give a more valid comparison. Sorry if I'm not understanding that correctly.

It's become possible to construct custom performance metrics with finantic's latest ScoreCard extension! Check it out, looks amazing:
https://www.wealth-lab.com/Discussion/finantic-ScoreCard-Released-6987