Request: Example of Custom Metrics addition into Rules Analyzer

Request: Example of Custom Metrics addition into Rules Analyzer

swalk10
2014-08-03 16:13:21

Is there an existing example that I could adapt from, that illustrates adding a custom metric into the Rules Analyzer Settings.
For example, it would be great to be able to review the rules results using standard metrics like Sortino or UPI.
I know custom metrics can be added, and starting with a few code blocks would be great.

Thanks!
Scott

QuantShare
2014-08-04 05:02:29

Hi Scott,

Here is a blog post:
http://www.quantshare.com/sa-49-create-custom-metrics-for-the-statistical-data-analysis-tool

You can also download custom metrics from the sharing server.

swalk10
2014-08-04 18:29:35

Since Sharpe and Sortino is already coded in the simulator metrics is it easy to illustrate how to add that as a custom metric for rules analyzer?
Thanks much.

QuantShare
2014-08-05 06:27:56

Both tools are different. The simulator is a true portfolio backtester and Sharpe/Sortino are calculated based on equity, daily return and standard deviation.

The rules analyzer however trades all signals generated and doesn't produce any equity curve. It is mainly used for quantitative analysis.

swalk10
2014-08-05 16:09:05

So, that means can not create a Sortino metric in the Rules Analyzer? In theory, you just need the rules trades entrance and exits for a simulated equity curve for each rule test, but I understand if this would be "out of scope" for an example.
Thanks anyway

QuantShare
2014-08-06 03:37:07

Best Answer

You are correct. In order to create the Sortino ratio, you need to create a simulated equity curve from the trade entrances and exits (which are available).

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