"User defined" optimization metric
Author: dimmm
Creation Date: 8/29/2009 8:44 PM
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dimmm

#1
Hi,
I`d like to ask two questions.
1. Is there "User defined" optimization metric in WL5.4?
2.I don`t see the "Cum Profit" column on the tab "Trade". This parameter is not provided in WL5.4?
PS Sorry for my English.
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Eugene

#2
Hi,

1. No, with the move to compiled vs. interpreted code Wealth-Lab has lost this ability. To sweeten the pill, in the upcoming release of Community.Visualizers we'll include what's called "Community Scorecard". It will contain performance metrics suggested by our users, such as Ulcer Performance Index (for example), to be utilized in Strategy Ranking and Optimization. Like Basic and Extended scorecards, but community-driven. [The library code is open source, so motivated programmers will see how to add their own performance metrics. Non-programmers can leave their suggestions on the forum.]
2. That's right, it's been removed as a part of the simplification effort. Theoretically, I could add it to the "Trades V2" tab in Community.Visualizers (which is a multi-sortable Trades tab with a column showing trade priority), but what I don't like about "Cum Profit" is that it's recalculated whenever you sort the Trades list.
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dimmm

#3
Eugene, thanks for your reply.
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Seriga

#4
WLNetUserGuide.pdf

Wealth-Lab is installed wth two Strategy ScoreCards: Basic and Extended.
Like other extensions, ScoreCards are loaded when Wealth-Lab starts.
Developers can create their own ScoreCards that produce any metric
desired by creating a class that derives from StrategyScorecard. API
documentation for Scorecards will be made available on the WL5 Wiki.

Optimization metric it too most that Strategy Scorecard?
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Eugene

#5
I hardly understand your question, but let's guess: you're asking whether the StrategyScorecard also supplies performance metrics to the Optimizer? Yes.
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Seriga

#6
Correctly I have understood?
I cannot add by means of development environments my metric for optimisation.
Optimisation metrics are limited by the list: Net Profit, Profit per Bar, Trades, Winning %, Avg Profit %, Avg Bars Held, Max Drawdown, Profit Factor, Recovery Factor, Payoff Ratio, Ulcer Index, Luck Coefficient, Pessimistic RR.
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Eugene

#7
The only way to add custom performance metrics to Wealth-Lab 5 is by implementing the StrategyScorecard interface [currently undocumented - sorry for the inconvennience], coding them in a standalone IDE (e.g. SharpDevelop or Visual Studio), creating an assembly and placing it in Wealth-Lab's main folder.

Creating them on-the-fly (in Strategy code) is no longer possible.
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Seriga

#8
How it is soon possible to receive the description of interface StrategyScorecard and examples?
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Eugene

#9
API documentation will be posted as soon as Fidelity gives it the green light. It may take another year, who knows.

An example of StrategyScorecard implementation will appear in the upcoming build of Community.Visualizers (soon).
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Seriga

#10
Eugene, thanks.
We look forward.
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kbellare

#11
Has the Community Scorecard been published? I couldn't find it in Extensions or on the Wiki.

Looking for an optimization metric that is a trade-off between trade performance (Wealth-Lab-Score/ProfitTarget/Sharpe Ratio/etc, which yields low exposure and low trade volume) and overall profit (Net Profit/MaxDrawdown/etc, which yields high exposure/trade volume but poor trade performance).
- Any suggestions on which metric might best fit this bill?

Kiran
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Eugene

#12
QUOTE:
Has the Community Scorecard been published? I couldn't find it in Extensions or on the Wiki.


I didn't realize it's so hard to find:

Type in scorecard in the search-as-you-type box, and it will return over a dozen forum threads including the "home" thread for MS123 Scorecard.

Type in the same word in Wiki Quick Search and the very first link that comes up gets to the MS123 Scorecard page. However, this doesn't indicate that any open source code is available (since it's assumed to be part of the MS123 Visualizers solution) -- I've just fixed it by adding a note and link.

On each page of the Wiki, in the left-hand menu, there's a link saying "Scorecard". To download it, you can either click on the button in the Wiki: Scorecard, or access it from this one-stop shop for the open-source downloads:

Attachments

We're always open to suggestions on how to make navigation/search easier.
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kbellare

#13
Sorry, didn't realize Community Scorecard is the same as MS123 Scorecard - i have that.

Reason i still need the hybrid metric described below is I'm running Monte Carlo optimization which skews toward one or the other metric (as I specify) and skips line items that favor the other metric (since it's not Exhaustive, so i can't take the output to Excel and extract a hybrid metric).

QUOTE:
Looking for a hybrid optimization metric that is a trade-off between trade performance (Wealth-Lab-Score/ProfitTarget/Sharpe Ratio/etc, which yields low exposure and low trade volume) and overall profit (Net Profit/MaxDrawdown/etc, which yields high exposure/trade volume but poor trade performance).
- Any suggestions on which metric might best fit this bill?

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Eugene

#14
To find a metric that suits, try the Wealth-Lab User Guide: Preferences > Performance Visualizers > Performance, and you can also follow the links on the MS123 Scorecard page.