AnalyticalConeOOS

class qf_lib.common.utils.confidence_interval.analytical_cone_oos.AnalyticalConeOOS[source]

Bases: AnalyticalConeBase

Methods:

calculate_aggregated_cone_oos_only(...)

This functions does not need the IS history, only the IS statistics.
calculate_aggregated_cone_oos_only(oos_series: QFSeries, is_mean_return: float, is_sigma: float, number_of_std: float) → QFDataFrame[source]

This functions does not need the IS history, only the IS statistics.

Parameters:

  • oos_series – series that is plotted on the cone - corresponds to the oos returns

  • is_mean_return – mean daily log return of the strategy In Sample

  • is_sigma – std of daily log returns of the strategy In Sample

  • number_of_std – corresponds to the randomness of the stochastic process. reflects number of standard deviations to get expected values for. For example 1.0 means 1 standard deviation above the expected value.

Returns:

QFDataFrame – from which given cone was evaluated

Return type:

contains values corresponding to Strategy, Mean and Std. Values are indexed by number of days