IMsValueAtRiskBacktestingResult.TrafficLight

Syntax

TrafficLight: MsValueAtRiskTrafficLight;

Description

The TrafficLight property returns "traffic lights".

Comments

The traffic lights principle is used for model classification by its adequacy degree. Depending on the number of exceptions, the model is considered to belong to one of the zones: green (if not more than four outliers occurred), yellow (from five to nine outliers) or red (ten and more outliers).

Example

The property use is given in IMsValueAtRiskTransform.Portfolio.