workflow.run_unsmoothing

io.github.SKalinin909/tradingcalc · Verify this server

Return "unsmoothing" for infrequently-marked/illiquid or appraisal-based series: Getmansky-Lo-Makarov (2004) MA(2) smoothing index plus Blundell-Ward (1987) AR(1) volatility inflation, two complementary models answering "this return series looks smoother than it really is; what's the true volatility?". Use when user asks "how much is appraisal smoothing understating my real volatility?" or "what's my de-smoothed Sharpe ratio?". Returns: glm_theta (MA(2) weights), glm_smoothing_index (xi, 1=no smoothing, down to 1/3 for max MA(2) smoothing), glm_true_volatility_multiplier, glm_converged (false if the fit may be unreliable - treat that result with caution), bw_alpha (AR(1) coefficient = lag-1 autocorrelation, can be negative), bw_smoothing_detected (false when alpha<=0: no evidence of smoothing, bw_volatility_multiplier is then pinned to 1 with no correction applied rather than a misleading below-1 value), bw_volatility_multiplier, and each model's own true_stdev estimate.