R-Multiples (Van Tharp)
Author: akardar1
Creation Date: 8/19/2009 10:39 AM
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akardar1

#1
Hi,

Do we have anything on the system that helps backtest ideas with focus on the R-multiples concept
developed by Tharp ? (where 1R = risk per trade). Is there perhaps an add in/extension?


Adrien
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Eugene

#2
Hi Adrien,

We currently do not have an extension for R-Multiples. I'll mark this thread for later.

For WLD4, there was a perfscript:
Stock Traders “R” Multiple Perfscript
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Eugene

#3
Adrien,

We'll have some support for the R-Multiple based analysis. A Visualizer has been built that will look something like this -

R-Multiple™ Distribution Graph

In addition, some basic R-Multiple numbers to show on the Performance Extras tab. Of course, all of this applies to systems with RiskStopLevel defined.

Anyone got something to suggest/comment? Looking forward to your feedback.
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akardar1

#4
Hi Eugene,

This is exactly what I was referring to.
The system we are working on has RiskStopLevel defined so this performance visualiser is very useful.
Any extras such as the mean R for a given strategy, and std dev of R, would also add value.
I have seen a similar concept that also provides the % probability of having trades above or below x R. When do you envisage this visualier becoming available ?

Adrien
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Eugene

#5
Average R Multiple, standard deviation of R - no problem. I plan to pack everything in the upcoming release 2009.09 (shortly).
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Eugene

#6
You may download the updated library now.
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akardar1

#7
wow, thanks eugene, will do so
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Eugene

#8
We'll be taking the library down soon to wipe out anything related to this R-Multiple concept.
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akardar1

#9
Hi Eugene,

Do you mean you'll be removing the R-Multiples performance visualiser?
Its no longer showing on the Community Visualizer/wiki.
Its a great tool, why would you remove it ?

Adrien
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Eugene

#10
Hi Adrien,

We had to remove it because trademark holder strongly disagrees to releasing it.

Good news: very soon our performance visualizer will be re-released -- but as a generic tool to analyze risk/reward. Free from copyrights, trademarks, limitations and restrictions.
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akardar1

#11
Thanks Eugene,
That's a real shame, do we have an ETA on the release of the generic risk/reward tool?
Even approximate..

Adrien
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Eugene

#12
Hi Adrien,

You can download the updated Extension.
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akardar1

#13
Hi Eugene,

I see it thanks alot, can these extensions be edited on our end
to shows extras such averages/std dev/max RR etc ?
How does one actually download these performance visualisers?
I have not had to do this as of yet

Adrien
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akardar1

#14
Also.. is it possible to get this Distribution / Contribution data
on weekly/monthly/quaterly etc.. in the same way that the
"By Period" tab allows for this ?
The aim would be be to check that RR are consistent across various
time intervals = robustness.

Thanks again for your help
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Eugene

#15
QUOTE:
can these extensions be edited on our end to shows extras such averages/std dev/max RR etc ?

Sure. The C# code is open source and available for everyone in the Wiki:

Download link

Frankly, I don't understand what do you mean by showing extras in the context of the Risk/Reward Ratio visualizer. The Performance Extras tab already shows all these numbers, and you're able to utilize some of them in optimizations by using the Community Scorecard.

QUOTE:
How does one actually download these performance visualisers?

This is really simple. See this Extension Manager overview and then click on "Get Extensions" > Add-in > Community.Visualizers.
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Eugene

#16
QUOTE:
Also.. is it possible to get this Distribution / Contribution data on weekly/monthly/quaterly etc..

Anything is possible, as Robert likes to say, but this "last-minute addition" sounds like a major effort. It's not on my plans.
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akardar1

#17
Understood,
Let me see what I can do at my end,
Thanks again