Glitch7
 ( 85.94% )
- ago
finantic has just released a new Extension that provides some fantastic new capabilities to WL7 ...

https://www.wealth-lab.com/extension/detail/finantic.ScoreCard
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- ago
#1
Already noftified, downloaded and installed.... and trial lisence created..

All thanks to my UpdateManager <-- Shameless Gloat

Thanks Finantic!... your no-code fully personallized, feature packed Scorecard Creator Extension looks awesome!









0
- ago
#2
I like it!

Although the settings and the whole process still looks a bit confusing to me. Maybe because of this "multiplying" bug.



I also don't like that some metrics are docked to metrics sections. I want my metrics to belong to one section. If I can't overcome it explicitly, I guess I can override basic metrics using this flexible formula engine! - Like a new metrics that refers to a single metrics nothing more.

Good job! Although it still looks MVP-like a little to me).
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- ago
#3
Hi,

I just go tthe new scoredcard. I can't find the preferences for the backtesting out-of-sample start date. Where is it please and is it customizable to each strategy?

Thanks
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- ago
#4
Preferences->Intervals.
It is a global Setting. Applies to all Backtests.
Use a Percentage to have it more universal.
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- ago
#5
What do you mean use a percentage and how does that change things? Any plans on making it per strategy?

Thanks
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- ago
#6
I'll think about it.
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- ago
#7
Thanks for a very interesting scoredcard that has a lot of potential. There are some bugs and questions however.

I guess I'm having trouble seeing how the percentage works. What exactly is an out of sample percentage?

What I'd like to do is have my OOS capital start with a fixed amount, e.g. 100k. That way I know exactly what is happening out of sample. It doesn't seem like that's happening with the scorecard.

Also, there seems to be a bug. I have a strategy that has a first trade on 10/19, I set the OOS start date to 10/19 and initial capital at 100k. It says OS starting capital is 99755. Given that the trade that opened on 10/19 and closed on 10/20 has a net loss of -245, it seems like the scorecard is taking the value of the trade at the beginning of the trade and not at the end when it's actually realized. The end of OS capital is back to 100k on 10/28 even though the strategy backtest has it net up.

Also the End Date OS is labelled Start Date OS (so there are 2 start dates).
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- ago
#8
Hi MustPlayOptions,
The "InSample / OutOfSample" ScoreCard works as follows:

WL7 executes a normal Backtest (or optimizer run) with the usual Strategy Settings:
* StartDate: Start of Backtest
* Any Setting for "EndDate/End of Backtest" (Number of days, number of years, End-Date, etc)

Let's assume you selected a 10-Year Backtest.
With the (10 year) backtest results the IS/OS ScoreCard is called at end of backtest.

The IS/OS ScoreCard observes Preferences->Intervals and partitions the original Backtest results (Equity Curve, Daily Changes, Closed Positions) into two Parts:

* The Insample Interval, starts at the original StartDate and Ends at "Start of OOS Interval"
* The Out-of-Sample Interval, starts at "Start of OOS Interval" and ends at the original EndDate of the original Backtest.

The "Start-of-OOS Interval" is determined by the Preferences->Intervals Setting.

Here exist currently two modes:

* Fixed Start Date: You can specify the "Start of OOS Interval" as a fixed Date. This shoud obviously lay somewhere between the Start- and EndDate of the original Backtest.
* Percentage: Here you can specify the length of the OOS Interval as a percentage of the original backtest length.

Example: With a percentage of 40% and an original backtest length of 10 years,
your Insample Interval will be the first six years,
your out-of-sample interval will be the last four years (40% of 10 years).

Once the pertitioning is known, The IS/OSS ScoreCard calls (nearly) all existing ScoreCards two times, once for the IS Interval and once for the OSS Interval and collects the respective results. This means, The IS/OSS ScoreCard does not calculate any metrics by its own but leverages existing ScoreCards. This will work with your own, private ScoreCards as well.

Please note that only closed Positions, which happen completely in one of the Intervals are considered. All Positions which are either still open at the end of the backtest or open in the IS interval and close in the OOS Interval are ignored.

Furthermore, the IS/OSS ScoreCard does not manipulate Starting Capital or Position Sizing these are taken from the original backtest and the data is not manipulated for the OOS interval.

The ScoreCard also includes only such metrics which are (mostly) independent of Starting Capital.

I will add this text to the help section in the next build of finantic.ScoreCards.
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mjj37
- ago
#9
Looks amazing. Have you considered adding some metrics for comparing in/out sample returns? correlation, linear regression or comparing to random dataset?
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- ago
#10
This is in the making...
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- ago
#11
Thanks DrKoch for the explanation.

I guess it's not really what I was hoping/looking for then with regards to IS/OS.

When implementing a strategy, I may start the backtest farther back then when I actually start using it or after I developed it.

If the start date of OS is 10/1, and that trade closes on 10/5, I'm not sure why the value of the closed trade counts on 10/1.

I was also thinking that you could either start with a certain dollar amount on the start of the OS so if I have an account fro a particular strategy I could track to see if the WL values are matching the real life trading.

It's ok that that's not the intent of what you developed, which is really great, but it's just not as useful for me so maybe it's something you'll consider in a future version.

Thanks
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- ago
#12
Hi,

Is it planned to also port this extension to WL8?


Thanks!
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- ago
#13
It is completely ported, tested and publishing in its final stages...
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- ago
#14
Great!

Thank you very much DrKoch.
0
- ago
#15
finantic.ScoreCard for WL8 is now available.

See https://www.wealth-lab.com/extension/detail/finantic.ScoreCard
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