Search found 6 matches
- Tue May 30, 2023 11:04 am
- Forum: Testing and Simulation
- Topic: Skew implementation
- Replies: 0
- Views: 4855
Skew implementation
I am looking to implement skewness (skew) calculation of monthly (and/or daily) return statistics in TradingBlox. I don't think it is a built-in statistics? ...at least I haven't found it. I wonder if anyone is happy to share how to best implement? I did find a post by Roger Rines from 2005 with sta...
- Mon Feb 22, 2021 1:16 pm
- Forum: Testing and Simulation
- Topic: Probability (Volatility) Cones
- Replies: 0
- Views: 8035
Probability (Volatility) Cones
I just added an Aux. Block in the "Blox marketplace" used to generate Probability (Volatility) Cones of the Equity Curve. There might be similar Blox here but I did not find what I was looking for. It can be used to view back test (or In Sample) equity curve, along with live (or Out Of Sam...
- Thu Oct 15, 2020 1:21 pm
- Forum: Testing and Simulation
- Topic: Conf. Interval around a system change - UPDATE + Blox
- Replies: 1
- Views: 2574
Re: Conf. Interval around a system change - UPDATE
I have added a PM Blox in the "Blox Marketplace". It can be used to generate multiple tests with different randomly selected "portfolios" of instruments within the same Simulation. The Blox can be used in relation to my Post here on the topic "Confidence interval around a sy...
- Wed Oct 14, 2020 12:21 pm
- Forum: Testing and Simulation
- Topic: Conf. Interval around a system change - UPDATE + Blox
- Replies: 1
- Views: 2574
Conf. Interval around a system change - UPDATE + Blox
This is an update based on input I received since my first post on the topic in June 2020. The below and attached Excel Sheet describe a framework that can be used to statistically assess if a change to a system results in a significant improvement across a large number of different portfolios. The ...
- Wed Sep 16, 2020 7:13 am
- Forum: Testing and Simulation
- Topic: Confidence Interval around a system change - OLD
- Replies: 2
- Views: 3068
Re: Confidence Interval around a system change
Thanks for your input. After speaking to people with additional stat expertise :D ..., I am implementing some changes which I might post here later. Having looked into your comment on MAR, I believe this is fine to use. There might be some outliers but as long as the simulation data output we decide...
- Thu Jun 25, 2020 9:11 am
- Forum: Testing and Simulation
- Topic: Confidence Interval around a system change - OLD
- Replies: 2
- Views: 3068
Confidence Interval around a system change - OLD
Please see an updated and amended post on this topic on 14 October, 2020