Hi Eugene,

Is it possible to add Upside capture, Downside capture and Capture ratio metrics to the performance+ visualizer ? You can find formulas and explanations here https://breakingdownfinance.com/trading-strategies/upside-downside-capture. As you will see, the main idea is to see how better your strategy performs compare to your benchmark index (or your Buy&Hold) during up and down periods.

This will be good also if you can add Capture Ratio to Scorecards to offer the possibility to optimize your strategy parameters to find the best value of this ratio.

Thanks in advance for your interest (if your are ;-)).

Hi Alexandre,

Yes I'm interested in adding these ratios to both the Performance+ tab and MS123 Scorecards. Thank you for your request, it's appreciated.

Look for them in v2020.03 (end of February).

@abegy:

Per your request, I added the ratios. Please update the library to v2020.03 and restart WLD.

1. Note that the ratios will not be displayed for the B&H column as comparison to itself doesn't make any sense.

2. As expected, the Upside/Downside capture ratios are shown as values above/below 100% while the Capture ratio is a value above/below 1.

Thank you very much Eugene !

You're welcome!