R-Multiples (Van Tharp) - Wealth Lab Forum

akardar1

#1

8/19/2009 10:39 AM

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

Eugene

#2

8/19/2009 12:42 PM

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

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.

akardar1

#4

9/7/2009 7:07 AM

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

Eugene

#5

9/7/2009 2:35 PM

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

Eugene

#6

9/9/2009 3:40 PM

You may download the updated library now.

akardar1

#7

9/11/2009 4:56 AM

wow, thanks eugene, will do so

Eugene

#8

9/14/2009 1:27 PM

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

akardar1

#9

9/19/2009 4:19 PM

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

Eugene

#10

9/19/2009 4:45 PM

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.

akardar1

#11

9/21/2009 3:00 AM

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

Adrien

Eugene

#12

9/21/2009 7:09 AM

Hi Adrien,

You can download the updated Extension.

akardar1

#13

9/21/2009 9:27 AM

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

akardar1

#14

9/21/2009 9:31 AM

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

Eugene

#15

9/21/2009 9:39 AM

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.