Presets:
Empirical Model Accuracy & Out-of-Sample Audit
3-Year Walk-Forward Out-of-Sample Backtest & Kupiec VaR Violation Verification
OOS Sharpe Ratio
1.43 vs 1.78 Benchmark
95% VaR Violation Rate
3.23% (Expected 5.0% — PASSED)
Test Horizon
248 Test Days
Max Sharpe Return
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Volatility: --
Max Sharpe Ratio
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Sortino: --
Min Volatility
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Return: --
95% Value at Risk (VaR)
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Expected Shortfall: --
Markowitz Efficient Frontier & Monte Carlo Simulations
SciPy SLSQP Exact CurveOptimal Weight Allocation
Max Sharpe Portfolio Capital Breakdown ($100k)
| Ticker | Max Sharpe | Min Vol | Value ($) |
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