backtesting_error

MonteCarlo.backtesting_error(var_level=5)

Calculate Backtesting Error as the difference between empirical and theoretical risk measures (VaR, CVaR) and arithmetic mean.

Parameters:

var_levelint, default 5

Confidence level in percent for Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). For example, 5 corresponds to 5% left tail.

Returns:

dict

Dictionary with the following keys:

• ‘delta_arithmetic_mean’: float

  Difference between the theoretical and empirical arithmetic mean of returns.

• ‘delta_var’: float

  Difference between empirical and theoretical Value-at-Risk at the specified level.

• ‘delta_cvar’: float

  Difference between empirical and theoretical Conditional Value-at-Risk at the specified level.