Performance Visualizers library by Eugene

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Since I'm thinking about this, I'll add it here as something for consideration.


For many of us, a bar is 1 day. Let's use that as our definition of a bar for now. Likewise, for many of us, we want to know what our return has been for the past 30 days, 90 days, etc. on any given day.

For a historical back-test, it can be very helpful to visualize the "rolling x-day return", where x might be 5, 30, 90, 365, etc. Envision a graph where time is the x-axis, and % return is the y-axis. Then for any given point in time, you show, in percentage terms, the return from the prior x days. Does that make sense? You can then for any point in time, know what your return would have been for the prior x days.

This would be a cousin to the "By Period" visualizer. That visualizer shows returns for the past week, month, quarter, and year, but it's limiting: the month always starts on the first, the quarter at the first of the quarter, the year at Jan 1, etc. But what if you want to see your prior 1 year returns on 7/1 (that is the 1-year return from 7/1/2011 to 7/1/2012, for example). Then on 7/15 to 7/15, etc., etc..

A rolling return chart provides just that - the benefit of such a chart is that you can then quickly visualize what worst-case and best case returns have been for a 30 day period, 90 day period, etc. This can be powerful - you may have a large draw-up, then a large draw-down, in a given quarter, resulting in a flat return for that quarter. If you look at the draw-down figures in performance results, you might conclude that the system suffers from draw-downs that are too large. But, if you have a rolling return display, you may discover that some of the big draw-downs are a result of some big draw-ups! If so, longer period returns may align with your risk management over a longer time-frame.

I currently have to paste daily equity into excel and then do this type of analysis. It would be great to have this as a visualizer.

I've seen this in other sophisticated applications - I think this would be a solid addition, so wanted to bring it up.

- Lee
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We provide Daily, MTD (month to date) and YTD (year to date) percentage change in the Portfolio Inspector tool. Is this what you're after?

P.S. For your future reference, please note that these "Individual Extension Forums" are born dead and nobody visits them ever. It would be more preferred if you leave future requests under the main Extensions forum. For example: NEW MS123 Performance Visualizers and MS123 Scorecard
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