Tools to backtest your VaR metric
Project description
To install, just use pip :
pip install varpy
Required Dependencies are listed below , such :
Dependency |
Version |
---|---|
arch |
5.0.1 |
numpy |
1.20.1 |
scipy |
1.6.2 |
pandas |
0.12.2 |
numba |
0.52.1 |
joblib |
1.0.1 |
scipy |
0.4 |
tabulate |
3.3.4 |
There is no dependency verification , so please, make sure to have installed every required one before using the package.
Example
To begin, let’s extract default data:
import varpy
from varpy import EVT_VaR,Student_VaR,Normal_VaR
from varpy.Backtester.bktst import Backtest
from varpy.Backtester.time_Significance import Testing
import matplotlib.pyplot as plt
data = d1()* 100
data
Let’s compute our weekly standard VaR and CVaR
VaR,CVaR = Normal_VaR(data.values.reshape(-1,) ,0.05,7)
print(VaR,CVaR)
Let’s backtest our VaR, to evaluate its consistency throughout time
In each iteration, we choose to use a window of 500 data to evaluate our tail statistic. Additionally, our VaR is evaluated on a weekly basis for an alpha of 5%.
VaR , CVaR = Backtest(data,500,7,0.05,model = 'Gaussian')
ts = Testing(data,VaR,CVaR,500,0.05)
print(ts.summary)
Plot your VaR and CVaR
import matplotlib.pyplot as plt
fig = plt.figure(figsize=(15,5))
plt.plot(data[500:])
plt.plot(VaR)
plt.plot(CVaR)
plt.show()
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