I have started running optimizations in WLP 6 and I see that Maximum Drawdown (in dollars) is shown in the Basic Scorecard and Extended Scorecard of the Optimization Results tab but Maximum Drawdown % is not shown in either one. Exposure is also not shown in the optimization scorecards. Is there a way that I can configure the optimization functions to include Maximum Drawdown % and Exposure in either the basic or extended optimization results scorecard?
Size:
Color:
You're in Raw Profit mode. By definition, there is no starting capital and consequently, no Sharpe, no Max Drawdown % or Exposure. Switch the strategy you're trying to optimize to one of the Portfolio Simulation options from the Position Sizing dialog.
Size:
Color:
The problem I am describing occurs when I am in Porfolio Simulation mode. The Performance tab shows all of the data associated with Portfolio simulation. The Optimization Results Extended Scorecard shows data for APR and Sharpe Ratio but does not show data for maximum Drawdown % or Exposure.
When I switch to Raw Profit mode, the APR and Sharpe Ratio data are no longer included in the Optimization Results Scorecard as should be the case for Raw Profit mode.
Size:
Color:
Oops. I now recollect that Max Drawdown % never existed in Basic/Extended scorecards, and this was the reason for including it in the Community Scorecard.
So you have Max Drawdown % in Portfolio Simulation if the Community Scorecard - a part of our
Performance Visualizer library - is installed. I'll work on including Exposure for the next update.
Size:
Color:
Thank you!
Size:
Color:
Done. Please accept the update (if automatic version check in Extension Manager is enabled) or switch the EM tool to "Other extensions" to update the library manually.
Size:
Color: