For another project, I once programmed some risk analysis for the S&P 500 (green line) as well as for the portfolio of my ATS (black line). If you ever want to sell an ATS to a financial manager, he or she will ask you for these figures. They are
yearly volatility drawdown value at risk (VAR 95%) shortfall (based on VAR 95%) As you can see on the graph, the S&P 500 (or ES) was a risky asset as to the end of 2008 shortfall approached -7% which is considered a very bad value. I have reproduced these graphs for the time frame of 2008 to present, if you ever plan to program these and compare your results on the S&P 500 with mine. Now if I could figure out how to supply that "Risk Analysis S&P 500.jpg" file in this forum I would do it. Please advise me. Alexander -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
