Displaying backtesting data
Stating a number of exceptions over a given period gives limited insight into the
reliability of risk and P&L figures. How big were the exceptions? Were they closely
spaced in time, or separated by several weeks or months? A useful way of displaying
backtesting data is the backtesting graph (see Figure 9.2). The two lines represent
the 1-day 99% risk figure, while the columns show the P&L for each day. The P&L is
shifted in time relative to the risk so that the risk figure for a particular day is
compared with the P&L for the following trading day. Such a graph shows not only
how many exceptions there were, but also their timing and magnitude. In addition,
missing data, or unchanging data can be easily identified.
Many banks show a histogram of P&L in their annual report. This does not directly
compare P&L fluctuations with risk, but gives a good overall picture of how P&L was distributed over the year. Figure 9.3 shows a P&L histogram that corresponds to the
backtesting graph in Figure 9.2.
Hiç yorum yok:
Yorum Gönder