The-101-Ways-to-Measure-Portfolio-Performance

I'm personally interested in ScoreCard metrics for evaluating the consistent positive slope of the equity curve. Some suggested using the Ulcer Performance Index and the K-Ratio. I've looked at both of these, but they seem to fall short of capturing the positive slope tendency of the equity curve.

I thought about devising my own metric, but that means developing and evaluating several methods on MatLab or R. I would greatly prefer to just find an established metric that can evaluate positive slope behavior of the equity curve better than the two ScoreCard indexes mentioned above. Any thoughts?

superticker,

Metrics like the Sharpe and Sortino Ratios, together with the k-Factor, are close to what you might want. The MAJOR limitation for the first two ratios is their fixed time scale. The implementation of k-Factor in WL6.9 was based on an outdated formulation, and I do not know if WL7 is using the most-recent version of the formula.

I have proposed a Feature Request to provide a "user defined" timeframe for the Sharpe Ratio to achieve something close to what you are suggesting. Vote for it! ;)

Vince

QUOTE:
Metrics like the Sharpe and Sortino Ratios, together with the k-Factor, are close to what you might want.

Thanks for mentioning these. I'll take a look at them.

Part of my goal is to search out stocks that need their strategy parameters reoptimized. And if reoptimization doesn't improve their equity curve enough, then remove them from the datasets altogether. But I need a ScoreCard merit metric to do this with.

QUOTE:
... a Feature Request to provide a "user defined" timeframe for the Sharpe Ratio

I voted it up.

QUOTE:
I voted it up.

Minority report: I believe it's fair to consider votes by active WL7 subscribers only.