returns with a given distribution skew, autocorrelation; all works...
"""
monte_runs = 1000
for want_rho in np.arange(-0.8, 0.8, 0.1):
for want_sharpe in [0.0, 0.5, 1.0, 2.0]:
for want_stdev in [1.0]:
for want_skew in [-2.0, -1.0, 0.0, 0.5, 1.0]:
want_mean = want_stdev * want_sharpe / 16.0
## autocorrelation introduces biases
(adj_want_mean, adj_want_skew,
adj_want_stdev) = adj_moments_for_rho(want_rho, want_mean,
want_skew, want_stdev)
manyans = [
autocorr_skewed_returns(want_rho, adj_want_mean,
adj_want_stdev, adj_want_skew)
for notused in range(monte_runs)
]
sample_mean = np.mean([np.mean(x) for x in manyans])
sample_std = np.mean([np.std(x) for x in manyans])
sample_skew = np.mean([st.skew(x) for x in manyans])
sample_rho = np.mean([autocorr(x) for x in manyans])
print "****************************"
print "Mean, wanted %.2f got %.6f" % (want_mean, sample_mean)
print "Stdev, wanted %.2f got %.4f" % (want_stdev, sample_std)
print "Skew, wanted %.2f got %.4f" % (want_skew, sample_skew)
"""This code verifies that the single frequency method for generating
returns with a given distribution skew, autocorrelation; all works...
"""
monte_runs=1000
for want_rho in np.arange(-0.8, 0.8, 0.1):
for want_sharpe in [0.0, 0.5, 1.0, 2.0]:
for want_stdev in [1.0]:
for want_skew in [-2.0, -1.0, 0.0, 0.5, 1.0]:
want_mean=want_stdev*want_sharpe/16.0
## autocorrelation introduces biases
(adj_want_mean, adj_want_skew, adj_want_stdev)=adj_moments_for_rho(want_rho, want_mean, want_skew, want_stdev)
manyans=[autocorr_skewed_returns(want_rho, adj_want_mean, adj_want_stdev, adj_want_skew) for notused in range(monte_runs)]
sample_mean=np.mean([np.mean(x) for x in manyans])
sample_std=np.mean([np.std(x) for x in manyans])
sample_skew=np.mean([st.skew(x) for x in manyans])
sample_rho=np.mean([autocorr(x) for x in manyans])
print "****************************"
print "Mean, wanted %.2f got %.6f" % (want_mean, sample_mean)
print "Stdev, wanted %.2f got %.4f" % (want_stdev, sample_std)
print "Skew, wanted %.2f got %.4f" % (want_skew, sample_skew)
print "Rho, wanted %.2f got %.4f" % (want_rho, sample_rho)