We're (perhaps) all guilty, at one time or another, of treating backtest metrics as gospel and letting our conscious/subconscious mind believe that the metrics have always been like that.
But that may not be so!
Perhaps the metrics are at a peak? Or at a nadir? Somewhere in between? Do they fluctuate wildly or are (mostly) steady? We don't really know as there's no historical context.
I think it would be *immensely* useful if the metrics can be plotted as a series so we can see how they've fared historically (in this context that means the period tested). A separate tab can be created for the plots e.g. Metrics Series.
(If one can automatically plot a metric's series just by left-clicking on it in the Metrics Report that would be super cool!)
Recognizing that it would be cumbersome, or perhaps impractical/unnecessary/impossible, to create a series for every metric in the Basic and Extended ScoreCards here's a suggested list of 10 core metrics (for a start):
- APR
- Alpha
- Beta
- Sharpe Ratio
- Sortino Ratio
- WL Score
- Profit Factor
- Payoff Ratio
- MAR Ratio
- Expectancy Ratio
Hope the developers will do the needful.
But that may not be so!
Perhaps the metrics are at a peak? Or at a nadir? Somewhere in between? Do they fluctuate wildly or are (mostly) steady? We don't really know as there's no historical context.
I think it would be *immensely* useful if the metrics can be plotted as a series so we can see how they've fared historically (in this context that means the period tested). A separate tab can be created for the plots e.g. Metrics Series.
(If one can automatically plot a metric's series just by left-clicking on it in the Metrics Report that would be super cool!)
Recognizing that it would be cumbersome, or perhaps impractical/unnecessary/impossible, to create a series for every metric in the Basic and Extended ScoreCards here's a suggested list of 10 core metrics (for a start):
- APR
- Alpha
- Beta
- Sharpe Ratio
- Sortino Ratio
- WL Score
- Profit Factor
- Payoff Ratio
- MAR Ratio
- Expectancy Ratio
Hope the developers will do the needful.
Rename
This reminds me of the legacy "Rolling Performance Metrics" visualizer (http://www2.wealth-lab.com/WL5WIKI/PVCombo3.ashx). It didn't have a wide user interest back in the old days but it may be a potential idea for our paid development (see Concierge Support Service).
Meanwhile, the Position Metrics allows to peek at the dynamics of a metric on a by position level - and even create your own metrics in Strategy code and display them in the visualizer:
https://www.wealth-lab.com/extension/detail/PowerPack#screenshots
Meanwhile, the Position Metrics allows to peek at the dynamics of a metric on a by position level - and even create your own metrics in Strategy code and display them in the visualizer:
https://www.wealth-lab.com/extension/detail/PowerPack#screenshots
QUOTE:Hey that's good persuasion - it's called "thinking past the sale". But, it's just your opinion.
Hope the developers will do the needful.
In one Berkshire meeting, Warren Buffett said (paraphrasing and making up numbers), I'd rather have a lumpy 25% return than a smooth 20%. In other words, it's the final outcome that matters.
Original post edit:
(If one can automatically plot a metric's series just by double-clicking on it in the Metrics Report that would be super cool!)
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Position Metrics visualizer doesn't offer any of the 10 core metrics I listed above. Anyway, more interested in Portfolio-level metrics, not so much individual positions.
How about bringing back the Rolling Performance Metrics visualizer - either standalone or as part of PowerPack? That would be a good start.
(If one can automatically plot a metric's series just by double-clicking on it in the Metrics Report that would be super cool!)
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Position Metrics visualizer doesn't offer any of the 10 core metrics I listed above. Anyway, more interested in Portfolio-level metrics, not so much individual positions.
How about bringing back the Rolling Performance Metrics visualizer - either standalone or as part of PowerPack? That would be a good start.
Hmm, I see this isn't even tagged with a #FeatureRequest so it's not officially on our Wish List and no one can vote for it.
QUOTE:
Position Metrics visualizer doesn't offer any of the 10 core metrics I listed above.
But you can create your own metrics in Strategy code and display them in the visualizer.
QUOTE:
How about bringing back the Rolling Performance Metrics visualizer - either standalone or as part of PowerPack?
...Or within the scope of our concierge support service.
@Glitch,
Can you tag it as a #FeatureRequest, or do I need to create a new ticket?
Can you tag it as a #FeatureRequest, or do I need to create a new ticket?
I got you!
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