Metric Transformations

Metric transformations apply a mathematical transformation to the metric to gain further insight into it's statistical properties.

Display Metric Pct Rank

Display a third pane with a n-period percentage rank of the metric. The default rank shown is 100 days and the pane current value will be the last metric value ranked from 1 (lowest value) to 100 (highest) in the past 100 periods.

To test the percentage rank of the metric, change the Backtest Settings from Metric to Percent Rank Metric.

Display Metric Rate of Change

Display a third pane with a n-period Rate of Change of the metric. The default Rate of Change shown is 100 periods and the pane current value will be the last metric value subtracted from the metric value 100 periods ago. When looking at volatile metrics it could be more meaningful to look at smaller period Rate of Changes (than 100) such as a 2 period or 5 period Rate of Change.

To test the Rate of Change of the metric, change the Backtest Settings from Metric to ROC Metric.

Display Metric Realized Volatility

Display a third pane with a n-period Realized Volatility of the metric. The default Realized Volatility is 100 periods. Realized Volatility of the metric is calculated as the n-period Standard Deviation of outright metric values.

To test the Realized Volatility of the metric change the Backtest Settings from Metric to Realized Volatility Metric.

Display Metric Z-Score

Display a third pane with a n-period Z-Score of the metric. The default Z-Score shown is 100 rolling periods and the Z-Score is calculated as the ((current metric value - the mean of the metric values over the rolling n-periods) / the standard deviation of the metric values over the rolling n-periods).

To test the Z-Score of the metric change the Backtest Settings from Metric to Z-Score Metric.

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