AnalyticalConeOOS¶
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class
qf_lib.common.utils.confidence_interval.analytical_cone_oos.
AnalyticalConeOOS
[source]¶ Bases:
qf_lib.common.utils.confidence_interval.analytical_cone_base.AnalyticalConeBase
Methods
This functions does not need the IS history, only the IS statistics.
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calculate_aggregated_cone_oos_only
(oos_series: qf_lib.containers.series.qf_series.QFSeries, is_mean_return: float, is_sigma: float, number_of_std: float) → qf_lib.containers.dataframe.qf_dataframe.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
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