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
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.