Wealth-Lab Score
Author: tradercn
Creation Date: 12/16/2011 9:09 PM
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tradercn

#1
I tested different strategies with different wealth-lab score. Some wealth-lab scores are high, even above 200. Some are lower than 20 while back testing performance measures are great however drawdown% is large. Most Wealth-Lab scores are around 30-50. I am wondering if strategies with low wealth-lab score is able to be implemented in real trading.Is there any suggestion for Wealth-Lab score usage? For example, if Wealth-Lab score is lower than 50, the strategy is not recommended to applied in real trading.Is there kind of saying like that? Thanks.
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Cone

#2
Nothing like that. The User Guide covers Wealth-Lab Score in detail. It's a "single metric that encompasses profitability, exposure (efficiency) and risk." If you have a bunch of systems that all have about the same return, then you may decide to pick the one with a higher WL Score as the better one to trade. Or, you can work backwards, using the WL Score as a filter to determine which systems deserve more attention.

Example:
Take 2 systems that have the same APR and Max Drawdown, but system A has 100% exposure and system B has a 25% exposure. By definition, system B will have a score 4 times greater than system A, but they may produce the same overall return. System B is 4x more efficient, so it gets a higher score.
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tradercn

#3
Thanks, Cone. :)
Have a good weekend!
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