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Got Variance?

Posted By: bob koca
Date: Sunday, 23 May 2010, at 7:01 a.m.

In Response To: Got Variance? (Nack Ballard)

Are you suggesting that the CI calculations are systematically too small? That can be tested directly rather than relying on what seems to be:

Rollout a position to death so its equity is essentially known exactly. Then with various seeds roll it out say 1296 times. Calculate the CI (the 50% confidence interval will be best to use). Check to see if the CI contains the actual true value. Calculate what % of the 50% CI actually do contain the true value.

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