backtesting different percentiles vlady enclosed file 2 backtesting plots saw following table shows percentage days pnl fell var 95 var 90 var 85 results based real ng forward prices 1 1 99 6 7 00 2 different portfolios portfolio 1 contained positions equal ng price prc portfolio positions 6 6 00 portfolio 2 consists positions equal storage prc positions 5 25 00 portfolio 1 var 95 var 90 var 85 implied vols 2 93 4 11 5 57 historical vols decay 1 7 62 12 02 15 54 historical vols withdecay 0 97 6 75 12 02 15 54 historical vols withdecay 0 94 6 45 12 02 15 54 portfolio 2 var 95 var 90 var 85 implied vols 4 1 6 74 9 97 historical vols decay 1 7 04 11 14 15 84 historical vols withdecay 0 97 6 74 10 56 16 13 historical vols withdecay 0 94 7 04 11 14 15 84 shows observations columns corresponding var 90 var 85 compared column corresponding var 95 frequency curve shift lower var becomes closer theoretical value 5 10 15 numbers column var 85 close 15 argument favor using historical vols also results depend decay factor experiment also notice numbers column var 95 higher 5 indication fat tails let know questions tanya