Modifying the Backtest Performance Report?
Author: phuber
Creation Date: 3/9/2010 3:54 AM
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phuber

#1

3/9/2010 3:54 AM

Hi guys,
Is it possible to modify the Backtest Performance Report? For instance, I would like to replace the Profit Factor or the Payoff Ratio by the Sortino Ratio or any other home-made measure.
Thanks
Philippe
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Eugene

#2

3/9/2010 4:04 AM

Hi Philippe,

It's not possible to modify the standard reporting facilities such as the Backtest Performance Report.

Instead, you can devise your own performance visualizer. Take a look at Wealth-Lab Version 5 (.NET) Development Guide for a description of the API, and feel free to modify the source code of Community Visualizers.
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phuber

#3

3/9/2010 4:16 AM

Thanks Eugene... I'll do that!

Any way I could have the source code of the Backtest Performance Report? I would then start from there to create my own report.
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Eugene

#4

3/9/2010 4:31 AM

QUOTE:
Any way I could have the source code of the Backtest Performance Report?

No way to get the built-in PV source code since it belongs to Fidelity (closed source), but you can start from PVReport2.cs aka Performance+.
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phuber

#5

3/9/2010 4:43 AM

Fine, thanks.
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Eugene

#6

3/9/2010 4:57 AM

One more thing. The way it works is that PVReport2.cs and CommunityScorecard.cs are the "clients" of the PerformanceEngine.cs class that delivers actual performance metrics.
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fritz

#7

3/9/2010 9:21 AM

Out of curiosity, is there some reason why basic WL does not include such seemingly-obvious metrics as Sharpe &etc? I would like to chart Sharpe vs. optimization values.
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Eugene

#8

3/9/2010 10:55 AM

Probably, for simplification. Sharpe is available in Community.Scorecard (included in Community.Visualizers).
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