Probability (Volatility) Cones

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Magnus
Senior Member
Senior Member
Posts: 39
Joined: Mon May 10, 2010 10:18 am
Location: UK

Probability (Volatility) Cones

Post by Magnus »

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 Sample) equity curve with probability cones.
The equity curve including probability cones will be displayed in a Custom Chart "Volatility Cones".

The Cones illustrate the upper and lower probability bands based on a given Mean and Standard deviation of Daily Equity returns assuming returns are Normal Distributed.
Attachments
CustomGraph0_P1.png
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