Build 5
Brings Scriptable Performance Metrics, Overoptimization detection, Multi-Objective Optimization, and Backtest result comparison to Wealth-Lab 7.
$69.95 / Lifetime
Try before you Buy! Download the Extension for a 14-day free trial before purchasing.
(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


Advanced ScoreCard
A collection of advanced performance metrics.
Elements ScoreCard
This ScoreCard contains a set of elementary metrics which can be used with Formula ScoreCard to create more complex metrics:
Formula ScoreCard
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.
Partition Percentage
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:
Start Date
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:
Favorite ScoreCard
The Favourites ScoreCard comes with a Preferences TabPage:
Favorite Metrics
The Favourites ScoreCard shows all your favourite metrics on a single page:
Section Documentation
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
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:

Change Log

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

Baseline Release:

  • 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