Class Bootstrap

Namespace

Balsam.Portfolio

Assembly

Balsam.Backtester.dll

A class for bootstrapping a return stream.

public class Bootstrap

Inheritance

object

Bootstrap

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Extension Methods

Excel.ExportToExcel(object)

Clipboard.CopyToClipboard(object)

Properties

Iterations

Gets/sets the number of iterations. Defaults to 1000.

public int Iterations { get; set; }

Property Value

int

Length

Gets/sets the length of the bootstrapped return stream. If null, the length of the return stream passed to Run is used. Can be used to create shorter return streams or longer ones if sampling with replacement.

public int? Length { get; set; }

Property Value

int?

Replace

Gets/sets whether we sample with replacement. Defaults to true.

public bool Replace { get; set; }

Property Value

bool

RiskFreeRate

Gets/sets the risk free rate in decimal terms (e.g. 5% = 0.05).

public double RiskFreeRate { get; set; }

Property Value

double

SampleGrouping

Gets/sets the number of consecutive observations to group together to preserve any serial correlation that may be present in the data.

public int SampleGrouping { get; set; }

Property Value

int

Seed

Gets/sets the seed value to use for randomization.

public int? Seed { get; set; }

Property Value

int?

Methods

Run(TimeSeries)

Returns bootstrap results for the specified return stream.

public BootstrapResults Run(TimeSeries returns)

Parameters

returns TimeSeries

Returns

BootstrapResults

Run(double[], int)

Returns bootstrap results for the specified return stream.

public BootstrapResults Run(double[] returns, int periodsPerYear = 252)

Parameters

returns double[]

periodsPerYear int

Returns

BootstrapResults