Extend GG Risk Report - Githubissues

warren-oneill / powerline

Extension to the zipline library for the German EPEX and EEX energy markets

Other

7 stars 1 forks source link

Closed dhexus closed 8 years ago

dhexus commented 8 years ago

[HIGH PRIO] Add two more VaR figures to the GG risk report: 5-day VaR, 95% and 99%
[LOW PRIO] Add max drawdown duration
[LOW PRIO] show absolute benchmark return (EUR)
[LOW PRIO] plot annual percentage benchmark return

dhexus commented 8 years ago

Maybe Max can help out..

warren-oneill commented 8 years ago

What is the difference between the current VaR calculation and the 5-day VaR?

For Max Drawdown Duration I'm still waiting for my PR to be accepted https://github.com/quantopian/zipline/pull/566

warren-oneill commented 8 years ago

I should also try to get VaR in zipline

warren-oneill commented 8 years ago

btw I think pyfolio has VaR calculation. Have you seen anything there?

dhexus commented 8 years ago

haven't seen anything in pyfolio. I think N-day VaR is simply one-day VaR times sqrt(N)
in our VaR calculation we are using: P * (1 - (A + 1)) - maybe P-P(A+1) is numerically a bit "better"
VaR formula uses portfolio value, but in our formula we have self.profit - can you check?
pls see above, I extended the list of TODOs by benchmark returns

warren-oneill commented 8 years ago

maxkoe commented 8 years ago

@dhexus I do not exactly understand the motivation of using P*(1 - A + 1) which is exactly P*A in both alternatives for the calculation above.