Possibility to access Scorecard values calculated bar after bar
Author: abegy
Creation Date: 1/29/2018 2:33 PM
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abegy

#1
Hi Eugene,

I would like to know if there is a way to access scorecards item values (for example K-Ratio) calculated bar after bar ?
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Eugene

#2
Hi Alexandre,

Scorecards aren't evaluated bar after bar. They're calculated once per backtesting run. What's your objective?

P.S. Welcome back. Nice to talk to you again.
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abegy

#3
I was interested to calculate scorecard values bar per bar to be able to have a series. By this way, it was possible to use it in a PosSizer with a “rolling performance logic”. For example, if the sharpe ratio fall down by 5%, close all positions.

PS : Sorry for my long silence, I had some health problem. But with this new year, I'm back. I still love Wealth-lab and the support that you give to the community. I hope a new version or new add-on to help the community to become better traders ;-)
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Eugene

#4
It doesn't seem to me that you need a Scorecard then. If interested to apply it to a PosSizer why not take the K-Ratio formula (for example) and calculate it in the PosSizer code? Note that due to the way PosSizers are evaluated (on each Position) you would rather want to calculate the value on-the-fly for a particular Position rather than create a cached "DataSeries" whose results would be incorrect.

Great to hear that you have recovered, and thanks for your feedback and improvement suggestions.
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abegy

#5
Thanks you Eugene. I was looking to find a way to do not hardcode by myself items available in scorecards. It's that why I asked you this question.

I have another question about this : is there a way in a visualizer to access a series of scorecard items by bar to be able to calculate them for example by month... ?
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Eugene

#6
QUOTE:
I was looking to find a way to do not hardcode by myself items available in scorecards.

Well, the PerformanceEngine class isn't going to make your life easier. It's not designed for such use case.

QUOTE:
is there a way in a visualizer to access a series of scorecard items by bar to be able to calculate them for example by month... ?

The direction you're heading doesn't look correct to me. This isn't a use case too. Performance visualizers run independently from scorecards.
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abegy

#7
Thank you to have pointing me to PerformanceEngine :-).
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Eugene

#8
You're welcome.