tech.nmfin.algoquant.demo.model.dai2011

Class Dai2011LongOnlyDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.dai2011.Dai2011LongOnlyDemo

@Demo
public class Dai2011LongOnlyDemo
extends Object

Demonstrates the Dai's optimal trend following trading strategy.

Using this example. Constructs Dai2011LongOnly, supplies Yahoo order books and initial capital, then runs the simulator and reads its PerformanceReport. The plotter opens a desktop chart. Inspect the model parameters and trade sizing independently of the initial cash balance.

Model and publication. The paper models bull/bear drift as an unobserved Markov state. A filtered bull probability drives entry and exit boundaries for a transaction-cost-aware stopping problem. The package’s 2011 label differs from the linked 2010 journal publication.

Implementation in this tutorial. Dai2011LongOnly adapts the idea with a three-year burn-in, yearly recalibration, a 21-observation regime-identification window, threshold 0.10 and rho=0. These are example calibration choices, not the paper’s complete experiment. Read its additional sizing and stop logic before comparing results. Initial cash is 1,000,000; report measures mix SIMPLE information-ratio returns with ABSOLUTE Omega inputs, so their scales differ.

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
Dai2011LongOnlyDemo()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

Dai2011LongOnlyDemo

public Dai2011LongOnlyDemo()

Method Detail

main

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

Throws:

Exception

run

public void run(Stock stock)
         throws Exception

Throws:

Exception