Just a suggestion: I think it would be helpful in visualizing the performance difference between the benchmark and an algorithm if we could get log scales on the dollar axis. In particular, it would help determine relative performance difference after a gap event. For example, if algorithm moves to cash before late 2008 and the benchmark doesn't, there's now a gap. Thereafter, in linear space, if both the benchmark and algorithm perform the same on a percent basis, the gap will naturally grow. In a log scale, this is prevented since percentage gains are addition.
Hi John, this is a good idea. We'll put it on our roadmap.
Just to make sure, by the dollar axis, do you mean the % (Y) axis?
thanks,
Jean
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Oops, yes, I meant the % axis.
Here's a concrete example I thought up to hopefully make it super clear what I mean. Suppose that fund A has fallen 20% to 80% but fund B is still at 100%, the difference in gains for an equivalent performance of 50% thereafter:
A: 80*1.5 = 120
B: 100*1.5 = 150
So it looks like B is performing better since it gained 50 against 40. In log scale,
A: log(80*1.5) = log80+log1.5
B: log(100*1.5) = log100+log1.5
So the perception is more realistic because they both gain log1.5
Makes a lot of sense, thanks.
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.