Brings Scriptable Performance Metrics, Overoptimization detection, Multi-Objective Optimization, and Backtest result comparison to Wealth-Lab 7.
$69.95 / Lifetime
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(all Extensions require a Wealth-Lab Subscription)
This Extension enables four important new features in Wealth-Lab 7:
- Scriptable Performance Metrics
- Overoptimization detection
- Multi-Objective Optimization
- Compare Tool: Compare up to four Backtest results side-by-side
A collection of advanced performance metrics.
This ScoreCard contains a set of elementary metrics which can be used with Formula ScoreCard to create more complex metrics:
This ScoreCard comes with a specialized extension, the Formula ScoreCard Control:
Edit Formula Metric
This extension lets you create, modify and delete fomulas for new metrics. Here is the edit dialog:
Select an Identifier
This dialog lets you edit an individal formula and evaluate this formula based on values form the last backtest. As formula any valid C# expression is accepted. It may contain any number of operators and Identifiers.
There are two methods to define the partition of your backtest interval into two parts, Insample and Out-of Sample. The first method uses a percentage of available time for the OOS interval:
The second method uses a fixed date to start the Out-of-Sample interval:
In Sample and out of Sample
This ScoreCard calculates many available metrics on two intervals: Insample and Out-of-Sample:
The Favourites ScoreCard comes with a Preferences TabPage:
The Favourites ScoreCard shows all your favourite metrics on a single page:
If you make printouts of the Metrics Reports and documment your strategy development process this way the new Documentation section is certainly helpful for you:
Metrics with Error Bars
For some of the metrics it is possible to calculate an "error bar." This gives you a better understanding about the available precission:
Compare Tool allows to see up to four backtest results side-by-side. After a backtest has finished you can click "Save Backtest" in the "Compare" Visualizer to add the current backtest result to the result store:
Compare Tool - Add Results
After the next backtest has finished you can use the "..." button to load older backtest results into Compare Tool.
Compare Tool - Metrics
With up to four backtest results loaded you can view Performance Metrics side-by-side. All available ScoreCards are supported:
Compare Tool - Equity Curve
Show up to four equity curves at the same time. You may modify the color of each curve with the color picker.
Compare Tool - Strategy Settings
Compare Tool records all relevant strategy settings for later review and comparison. You may use the startegy description field to document your latest changes:
Wealth-Lab 7 Build 5 - 2/17/2022
- Rich Text in Compare Tool -> Strategy Description.
Wealth-Lab 7 Build 4 - 2/6/2022
- Compare Tool: Allows to compare up to four backtests side-by-side.
- FIX: Performance Metrics from Formula ScoreCard work with Strategy Evolver now.
- Minor bug fixes.
Wealth-Lab 7 Build 3 - 12/19/2021
- Properties/Favourites: You can now move a metric with an double click
- save formula metrics to settings file after deletion of an metric
- A newly created metric in Formula Extension is now immediately visible in Preferences->Favourites (FavouritesTabPage) without restart of WL
- new Backtester Variables: StrategyCreationDate, DataSetName, Username, WLBuildNUmber, PositionSizeType, PositionSizeAmount, PositionSizerName, StrategyName, StrategyAuthor, Benchmark, StrategyType
- Formula accepts statement-block
- new library method: LinerRegression()
- Elements Scorecard uses MathNet.Numerics for Percentiles, Skewness, Kurtosis
- Elemenst ScoreCard: new metrics AvgPosSize, AvgPosSizePct, Interquartile Ranges
- new formulas: K-Ratio
- IS/OS ScoreCard now works with metrics from Formula ScoreCard
- Help text for IS/OS Scorecard improved
- Formulas: The category ComboBox now accepts new categories
- Favourites ScoreCard: adapt to API changes
- IS/OS Scorecard: Fixed Startcapital / EndCapital
- ScaleLog library method: handle 0.0 and negative
- Preferences->Favourite Metrics: open with trees in "Open" state
- Report from Favourites Scorecard now closely reflects Preferences->Favourite Metrics
- Section Headers now removable in Preferences->Favourite Metrics
- Help pages now contain images
- merge new metrics from install after new install
- catetgory Headers in IS/OS Scorecard improved
- Filter some metrics (absolute $) in IS/OS Scorecard
- DDPerc metrics: Drawdown percentiles
- Elements ScroeCard: StdErr(AvgTrade), SdteErr(AvgDailyReturn)
- Compare IS / OSS results with backtest of IS only / OS Only
- Formulas can now have documentation metrics like author, username, wl-build number, etc.
With build 3 the following items are available:
- 54 predefined formulas in Formula Scorecard
- 12 performance metrics in Advanced Scorecard
- 43 elemantary metrics in Elements Scorecard
- 34 Identifiers from backtest, strategy, system and backtest settings
- 7 functions in library section
- 3 predefined constants
Wealth-Lab 7 Build 2 - 11/4/2021
- Changes to adapt to new API for WL7 Build 30.
Wealth-Lab 7 Build 1 - 10/22/2021
- 35 predefined formulas in Formula Scorecard
- 6 performance metrics in Advanced Scorecard
- 37 elemantary metrics in Elements Scorecard
- 21 Identifiers from backtest and backtest settings
- 3 predefined constants