Figure 8.1 backtesting
May 24, 2011
Philippe Mueller spotted a bug in the legend of Figure 8.1. It is an unwieldy figure, with almost too much going on, and hard to see in black and white. The color plot below is much clearer, and hopefully correct. Also, I called returns, volatility. Guess the pic was cursed. Finally, one could specify the probability, 1%. In any case, here is the correct. 