{"id":2151733,"date":"2021-09-10T10:36:20","date_gmt":"2021-09-10T05:06:20","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=2151733"},"modified":"2021-09-10T10:36:20","modified_gmt":"2021-09-10T05:06:20","slug":"ranking-and-visualizing-model-performance-metrics","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2021\/09\/10\/ranking-and-visualizing-model-performance-metrics\/","title":{"rendered":"Ranking and Visualizing Model Performance Metrics"},"content":{"rendered":"\n

On StockViz, we have over 50 quantitative models that are available for investing. They all have different risk and return profiles. It is fairly simple to pull up, say, the Sharpe Ratio of a particular model by navigating to its home page. However, it doesn’t say how it compares to all the other models we have going.<\/p>\n\n\n\n

Let’s say you are looking to invest in one of our “Rapid-fire” Momo strategies. Our oldest ones are Relative<\/a>, Velocity<\/a> and Acceleration<\/a>. Their (gross) performance metrics are displayed in a table.<\/p>\n\n\n\n

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Relative<\/figcaption><\/figure>\n<\/div>\n\n\n\n
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Velocity<\/figcaption><\/figure>\n<\/div>\n\n\n\n
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Acceleration<\/figcaption><\/figure>\n<\/div>\n<\/div>\n\n\n\n

If you add net performance metrics into the mix, you’ll end up with a combinatorial explosion. How do you pick the “best” one of them to invest in?<\/p>\n\n\n\n

Enter Radar Charts.<\/p>\n\n\n\n

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\"\"<\/figure>\n<\/div>\n\n\n\n
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\"\"<\/figure>\n<\/div>\n\n\n\n
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\"\"<\/figure>\n<\/div>\n<\/div>\n\n\n\n

These charts show you the relative rank of each of these models against all the other 50+ models we have going. Intuitively, larger the area under the yellow (net) lines, better the model.<\/p>\n\n\n\n

The only caveat with these Radars is that you should compare them against models of similar vintage. For example, we went live with our All Star momentum model<\/a> in May 2020. Since then, the market regime has been extremely favorable to momentum strategies. It should come as no surprise that its Radar looks like the Queen’s Crown.<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

With that caveat out of the way, Radars are a great way to visualize how models square up against each other.<\/p>\n","protected":false},"excerpt":{"rendered":"

On StockViz, we have over 50 quantitative models that are available for investing. They all have different risk and return profiles. It is fairly simple to pull up, say, the Sharpe Ratio of a particular model by navigating to its home page. However, it doesn’t say how it compares to all the other models we … <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,6],"tags":[2761],"class_list":["post-2151733","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-news","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2151733","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2151733"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2151733\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2151733"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2151733"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2151733"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}