tech.nmfin.algoquant.demo.model.dai2011

Class BootstrapSimulationDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.dai2011.BootstrapSimulationDemo

@Demo
public class BootstrapSimulationDemo
extends Object

Demonstrates the bootstrap simulation of the Dai's trend following strategy.

Using this example. Resamples log returns for the Dai trend-following strategy, reconstructs price paths and runs a fresh strategy on each path. The output file under log/demo contains scenario reports. Sampled paths are hypothetical and the chosen block lengths and randomization affect the distribution.

Model and publication. Filtered regime probabilities and trading boundaries are the conceptual basis of the Dai strategy. The bootstrap performed here is a separate experiment layered over that strategy.

Implementation in this tutorial. The main uses Dai2011LongShort and reconstructed paths obtained from sampled log returns. Each scenario has its own market cache, simulator and report. PattonPolitisWhite2009 estimates a block length for dependent resampling; neither a resampled path nor a bootstrap P/L quantile is a new historical observation or a reproduction of the paper’s market test.

See Also:

M. Dai, Q. Zhang and Q. J. Zhu (2010), Trend Following Trading under a Regime Switching Model, SIAM Journal on Financial Mathematics 1, 780–810

Constructor Summary

Constructors

Constructor and Description
BootstrapSimulationDemo()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

BootstrapSimulationDemo

public BootstrapSimulationDemo()

Method Detail

main

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

Throws:

Exception

run

public void run(Product product)
         throws Exception

Throws:

Exception