API Rank_Perf Question - Information Returned by the API

General
1

I have a question about the data being returned by the API when a rank_perf call is made (with the outputType set to “perf”). From what I can tell you get the following information wrapped in a json structure.

cost of function call

remaining tokens

date of each rebalance

benchmark series data

bucket series data

So basically what you get when you run Performance on a Ranking System with the Chart Type set to Performance instead of Annualized Returns.

However, the API Wrapper documentation claims that “the output includes many more statistics than what the website offers.” What am I missing here? Is there a way to get access to these additional statistics of which I am unaware?

Additionally, when I run a Ranking System Performance on the website I am able click the “Save Log” button when gives me access to significantly more information. Is the log information available through the API, and if not why not?

One piece of information I would very much like to be able to extract is the turnover in each bucket from one rebalance period to the next (i.e. the number of positions which exit and enter the bucket from period to period) . This should be easy for P123 to calculate on the backend, or I could do it myself if I had access to the information contained in the log.

Thanks,

Daniel

2

Hello Daniel.
“the output includes many more statistics than what the website offers.” - looks like that paragraph was copied from the DataMiner rank performance page. It does not apply to the API rank_perf. DataMiner is not actually using the api rank_perf endpoint. It is running a series of screen backtests which is how DataMiner gets all those extra stats.

The API does not have a ‘Save Log’ option for rank_perf. You could create a Feature Request so we can gauge the demand from other users.

The rank performance page on the website is in the process of being redesigned. The requirements include returning the turnover% per bucket. The related specs for changes to rank_perf in the API have not been written yet, but I will make a note of your request to include the turnover% per bucket.