tech.nmfin.algoquant.demo.misc

Class BootstrapSimulationSMA2Demo

java.lang.Object

tech.nmfin.algoquant.demo.misc.BootstrapSimulationSMA2Demo

@Demo
public class BootstrapSimulationSMA2Demo
extends Object

Demonstrates how to compute the P/L distribution of a strategy using a bootstrap method. That is, we run the strategy on many fake or bootstrapped prices that share similar statistical properties as the original price series. Each run gives one particular P/L for that hypothetical price series. Together, they give a distribution of the P/L.

Using this example. Resamples an observed Yahoo price cache with BootstrapSingleCacheFactory and runs independent SMA2 instances on the resamples. The resulting reports describe a hypothetical P/L distribution, not multiple observations of the original realized backtest. SMA lags count observations and position sizing remains fixed units.

Constructor Summary

Constructors

Constructor and Description
BootstrapSimulationSMA2Demo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BootstrapSimulationSMA2Demo

public BootstrapSimulationSMA2Demo()

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception