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已更新 Value at Risk (VAR)

Value at Risk (VAR) is a measure of risk metric in finance used to quantify the potential loss in the value of a portfolio of assets or a single investment in a specific time horizon, given a certain level of confidence.
For instance, lets say there is a VAR of $1000000 at the 95% confidence level in a daily time horizon period, that means that there is a 5% chance that the portfolio will decrease by more than a million within a single day.
Indicator Overview
This indicator calculates the Value at Risk (VAR) using the Variance - Covariance method. On the settings of the indicator you can also determine what significance level you want for the indicator.
Confidence level = 1 - α
α is the significance level.
Basically a 5% significance level will have a 95% Confidence level.
There is also a information tab that displays the Value at Risk (VAR), the Confidence level of the significant level you selected, and an Estimated Range. This is just an estimated range because this is based on returns which follow a normal distributions, unlike price which follows a log normal distribution. So this range will only be obeyed here and then.
Calculation method: Variance - Covariance Method
This method involves the expected return and the standard deviation (volatility). It is based on the assumption that returns follow a normal distribution. For more information on this calculation check this link out.
https://www.investopedia.com/articles/04/092904.asp
Applications:

For instance, lets say there is a VAR of $1000000 at the 95% confidence level in a daily time horizon period, that means that there is a 5% chance that the portfolio will decrease by more than a million within a single day.
Indicator Overview
This indicator calculates the Value at Risk (VAR) using the Variance - Covariance method. On the settings of the indicator you can also determine what significance level you want for the indicator.
Confidence level = 1 - α
α is the significance level.
Basically a 5% significance level will have a 95% Confidence level.
There is also a information tab that displays the Value at Risk (VAR), the Confidence level of the significant level you selected, and an Estimated Range. This is just an estimated range because this is based on returns which follow a normal distributions, unlike price which follows a log normal distribution. So this range will only be obeyed here and then.
Calculation method: Variance - Covariance Method
This method involves the expected return and the standard deviation (volatility). It is based on the assumption that returns follow a normal distribution. For more information on this calculation check this link out.
https://www.investopedia.com/articles/04/092904.asp
Applications:
- If the calculated Value at Risk (VAR) is high then, that means the risk is high and if the trader has a low risk tolerance then the trader might want to reconsider the trade.
- The indicator also lets you see what the potential losses (Long and Short) of the asset can be with the confidence level of your choice.
發行說明
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作者的說明
Get access here: https://www.patreon.com/user?u=80987417
提醒:在請求訪問權限之前,請閱讀僅限邀請腳本指南。
Link Tree: linktr.ee/tradersendeavors
Access our indicators: patreon.com/user?u=80987417
Access our indicators: patreon.com/user?u=80987417
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
僅限邀請腳本
只有經作者授權的使用者才能訪問此腳本,且通常需付費。您可以將此腳本加入收藏,但需先向作者申請並獲得許可後才能使用 — 點擊此處了解更多。如需更多詳情,請依照作者說明或直接聯繫Traders_Endeavors。
除非您完全信任其作者並了解腳本的工作原理,否則TradingView不建議您付費或使用腳本。您也可以在我們的社群腳本中找到免費的開源替代方案。
作者的說明
Get access here: https://www.patreon.com/user?u=80987417
提醒:在請求訪問權限之前,請閱讀僅限邀請腳本指南。
Link Tree: linktr.ee/tradersendeavors
Access our indicators: patreon.com/user?u=80987417
Access our indicators: patreon.com/user?u=80987417
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。