Log scale in Equity Curve tab? Portfolio Inspector/Trade Life enhancements?
Author: tedclimo
Creation Date: 4/26/2011 11:53 AM
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tedclimo

#1
Any plans to add logrithmic scale choice in the dropdown menu for the "Equity Curve" tab???

It already exists in the "Equity + Drawdown%" & "Portfolio Inspector" tabs.

Obviously not urgent, but would nice to have the option.

Or alternatively, to allow copying (as an option in drop down menu) of Equity Curve from the "Portfolio Inspector" tab.

All the best,
T!
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Cone

#2
I'll note the Log scale for Equity curve. Eugene will help with the PI.
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Eugene

#3
Hi Ted,

Perhaps I misunderstood about the "alternative". Given that it's possible to copy the equity curve data from any other mentioned tab, is this something the PI really lacks and therefore should be added?
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tedclimo

#4
Eugene,
Sorry if I was unclear.
I simply want to "copy" Equity curve by itself (Log Scale, w/o DD curve attached).
Today, that is not possible.
PI tab does not permit copying EQ curve (but does permit Log Scale).
EQ tab does not allow Log scale (but does permit copying).
EQ&&DD tab does both, but would be nice to be able to copy EQ curve(Log Scale) w/o DD curve(arithmetic). The Log scale EQ curve & Arithmetic DD curve is an awesome option for us trading model builders, but alarming/confusing to the non-programmer who sees massive arithmetic spikes set against Log EQ curve.

The non-programmer(s) I refer to are potential clients/employers that some of us are trying to begin/maintain a relationship with.

Hope that clarifies my suggestion.
You guys rock,
Ted!


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Eugene

#5
Ted,

My point is that the equity curve values aren't changed when switching to semi-log scale and back. The data series stays exactly the same. It's just a display technique of structuring the data so that an equal distance along it represents an equal percentage change.
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tedclimo

#6
Absolutely agree, no argument from me.
my request was simply ability to have a Log Scale EQ curve .GIF image(by itself) that could be copied.... w/o DD curve .GIF image married to it :)
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Eugene

#7
Got it. :) I thought you were talking about copying the equity data to clipboard.

Will add Copy and Save (as image) to the right-click menu in the very next release (May-June).
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dansmo

#8
@Eugene
Can you implement this (Copy data to Clipboard) for "Trade Life", too?
edit: would be great to have "average trade lifes", where on every bar the average is taken.
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Eugene

#9
QUOTE:
Can you implement this (Copy data to Clipboard) for "Trade Life", too?

Sorry, the "Trade Life" tab wasn't designed for copying to clipboard and/or saving the data to a CSV file (like other MS123 visualizers do). Given the current design of the visualizer, it might be too involved.
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dansmo

#10
Okay, I understand that.
All I wanted to do when copying to excel was averaging the trade lifes. Maybe this could be added to the tab directly?
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Eugene

#11
Re: copying average trade life, I guess the codecode by Assenzio # 2/3/2011 9:52 AM in this thread does just that?

Exporting Trade Life
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Eugene

#12
QUOTE:
edit: would be great to have "average trade lifes", where on every bar the average is taken.

I'm not sure, could you clarify how exactly you see it?
To each choice (e.g. "Total" & " Short"), add a new curve based on current selection i.e. Average Total Short trade life?
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dansmo

#13
I will give you an example to clarifiy:

lets assume 3 trades with trade lenghts of 1, 2 and 3 bars, returns in percent:
1. +1
2. -0.5, +0.5
3. +2, +1.5, +2.5
Average:
0.833, 1, 2.5
Additionally one could add standard deviation bands around the average.
Please see Figure 9.4 in Stridsman: Trading Systems that work. You will find a complete description in Chapter 9:
http://books.google.de/books?id=dTmr94EhEoUC&printsec=frontcover&dq=trading+systems+that+work&hl=de&ei=BSa5TZ-KCKnS4wbJjMjyDw&sa=X&oi=book_result&ct=result&resnum=1&ved=0CGUQ6AEwAA#v=onepage&q&f=false

Since copy to clipboard is not an option, it would be great to add a "Data Window" so one can examine single data points in the chart with its exact figures.
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dansmo

#14
@ 3:24: yes.
@ 3:25: yes, exactly.
Looks like something other users need, too. If you have hundreds of trades the average would really be interesting.

Some of my codes are already relative long and I would prefer a direct implentation over a workaround like suggested by Assenzio.
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Eugene

#15
QUOTE:
@ 3:25: yes, exactly.

Well, thanks for your suggestion, I'll mark it to research later.
QUOTE:
Since copy to clipboard is not an option, it would be great to add a "Data Window" so one can examine single data points in the chart with its exact figures.

Simply mouse over a data point to find out the figure.
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dansmo

#16
QUOTE:
Simply mouse over a data point to find out the figure.

With hundreds of trades...not quite a good solution. At least it would be good to show the symbol and trade number on mouseover. But a list like in data window for charts that lists all data on selected bar would be perfect.
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Eugene

#17
Thinking out loud, throwing some ideas (w/o making an assumption that it's going to work):

* Overlaying the average trade curve might not look very pretty (with hundreds of trades in particular) so an option to hide the individual trade lines could come in handy.
* A linear regression line (optionally) is also something to consider.
QUOTE:
At least it would be good to show the symbol and trade number on mouseover.

Displaying anything beyond the bar number & net profit % is hardly possible given the current design (and w/o some good refactoring).
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dansmo

#18
Yes, very good ideas...go ahead :-)
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Eugene

#19
dansmo

While enhancing MS123 Visualizers with support for the upcoming Combination Strategies (the long-awaited multi-system backtesting - coming with WL 6.2 later this month), I've taken a closer look at your request.

Unfortunately, the current design doesn't make it easily possible to add overlay lines like linear regression and/or averages. Design is also the reason why neither "Trade Life" nor "Trade Stability" will be compatible with Combo strategies. Sorry.
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dansmo

#20
Eugene,

I prefer multi-system backtesting over Trade life features... ;-)
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WT

#21
If you are reviewing possible enhancements to Trade Life (cross sectional returns) I would like to recommend a few options as I have found these very useful in evaluating trades over and above using classic scorecard metrics in conjunction with Brinson/attribution.

>1 Add aggregate individual trades to show average trade life using existing drop down filters.
>2 Add drop down option to filter or condition by year/quarter to see how the path dependent returns vary and are changing
>3 Add ability to show these as excess return versus a defined benchmark which the user can specify on the screen

Thanks

Regards
W
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Eugene

#22
Thanks for your ideas Warren.

1 - I'll look into it and let you know if it's feasible to implement.
2, 3 - Sorry, these are too complicated and/or specific for the general user.
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Eugene

#23
Re: >1

I'm having hard time imagining what an "average trade life" might look like. Trades usually have different duration. Suppose your system switches modes from swing trading to trend trading. Most of the time it takes quick profits and fixes small losses (90% trades on a 3-10 day horizon) but once in a while it lets the profit ride (10% position trades held for 50-100 days). There are no positions held between 10 and 50 days. What such a graph would look like?

This example may only look overdone but you can be applying Average Trade Life to a diversified Combination Strategy. So your averaging concept looks quite artificial to me and doesn't seem universal which is important when one designs a general usage tool.
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WT

#24
Valid points - let me come back with more detail to allow you to better understand what I am describing Eugene.
Will be a couple of weeks - this is not urgent fwiw