AnalyticalConeOOS

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

Bases: qf_lib.common.utils.confidence_interval.analytical_cone_base.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: 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